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Ranking trading strategies


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Ranking trading strategies

  #1 (permalink)
M4STR0
Florence
 
Posts: 27 since Jan 2021
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So I come up with a lot of trading strategies, how do you rank them and decide the best to put live? after a window period of time you watch N trades performance results? or you use performance results based on a period of time? what is your method for ranking them?

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  #2 (permalink)
 BERN Algos 
Bologna Italy
 
Experience: Advanced
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M4STR0 View Post
So I come up with a lot of trading strategies, how do you rank them and decide the best to put live? after a window period of time you watch N trades performance results? or you use performance results based on a period of time? what is your method for ranking them?

My selection criteria is quite simple and based on equity curve vs its simple moving average. I dynamically adapt evaluating windows on the trading frequency of each strategy, say from 4 months for strategies that generate few trades a months down to 1 month for very active strategies.

I told the story of my Portfolio Manager here:


Regards

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  #3 (permalink)
M4STR0
Florence
 
Posts: 27 since Jan 2021
Thanks Given: 23
Thanks Received: 9



BERN Algos View Post
My selection criteria is quite simple and based on equity curve vs its simple moving average. I dynamically adapt evaluating windows on the trading frequency of each strategy, say from 4 months for strategies that generate few trades a months down to 1 month for very active strategies.

I told the story of my Portfolio Manager here:


Regards

I can also use some king of moving average applied to the equity line of the trading system, but if I have many trading systems over the moving average, a ranking must be done to select the best one to put in place, you just use all the ones that are over the moving average?
I saw you do some ranking for deciding premiums strategy to double the size, that is some kind of ranking so you base the ranking on a moving window of 3 months of the netgain?
If you think about it, you could just select the top n systems each week based on netgain, and avoid to check for the equity moving average, so that is some kind of trading system momentum ranking, have you tryed that?

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  #4 (permalink)
 BERN Algos 
Bologna Italy
 
Experience: Advanced
Platform: nt8
Broker: NinjaTrader
Trading: futures
Posts: 42 since Jun 2022
Thanks Given: 11
Thanks Received: 38


M4STR0 View Post
I can also use some king of moving average applied to the equity line of the trading system, but if I have many trading systems over the moving average, a ranking must be done to select the best one to put in place, you just use all the ones that are over the moving average?

I put live all ones above the EMA, one/third on average, 50 ones out of 160 running. All my strategies stay in the market for a small amount of time, many are pure BIAS and operate only on specific days. With 50 selected ones I have on average 1 to 5 maximum positions open. Margin used is minimal.


M4STR0 View Post
I saw you do some ranking for deciding premiums strategy to double the size, that is some kind of ranking so you base the ranking on a moving window of 3 months of the netgain?

Honestly this is in progress. Just testing a ranking based on performance ratio. No final decision yet.


M4STR0 View Post
If you think about it, you could just select the top n systems each week based on netgain, and avoid to check for the equity moving average, so that is some kind of trading system momentum ranking, have you tryed that?

Tested, didn't work for my strategies type, or didn't work better than the simple EMA filter. But I did my development myself night time mostly. A better and more professional organization of the work could drive to better results.

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