Hi,
I have been learning how to develop custom strategies and can say that I am finally getting my way through the learning curve...which is great!
I was able to develop one particularly good trending strategy that had a nice run-up of approx 3 months for an equity.
Now I am in a stage where that strategy started to get ineffective and is pretty much obvious that goes into a serious drawdown mode. The previous 3 months it has been getting pretty consistent results.
After 2 weeks of drawdown I decided to stop that strategy ...since the equitiy is trading mostly sideways the whole August. I am assuming this is due to lower volumes and/or the summer down (if there is such a thing in the financial world).
I am thinking of developing another strategy through which I could hedge my portfolio...and when the markets go sideways to switch from the trending to the sideways.
In this regard I wanted to ask the following three questions to the more experienced users that would be greatly appreciated.
1. Is there any particular instrument of choice...which has an edge over the others when it comes down to algorithmic trading? I noticed that a lot of people trade futures. Are they good e.g. for MA crossover algos due to being more smooth...or people prefer them due to the higher leverage? Also what kind of bars go well with those instruments?
2. Is there any general word of advice on which instruments one should focus throughout the different periods of a year?
3. How do you identify a serious drawdown and what is your tolerance before completely pausing a strategy? From what I've learned so far...stopping a well put strategy might be even more responsible task than enabling it in the first place.
Thanks.
I have been learning how to develop custom strategies and can say that I am finally getting my way through the learning curve...which is great!
I was able to develop one particularly good trending strategy that had a nice run-up of approx 3 months for an equity.
Now I am in a stage where that strategy started to get ineffective and is pretty much obvious that goes into a serious drawdown mode. The previous 3 months it has been getting pretty consistent results.
After 2 weeks of drawdown I decided to stop that strategy ...since the equitiy is trading mostly sideways the whole August. I am assuming this is due to lower volumes and/or the summer down (if there is such a thing in the financial world).
I am thinking of developing another strategy through which I could hedge my portfolio...and when the markets go sideways to switch from the trending to the sideways.
In this regard I wanted to ask the following three questions to the more experienced users that would be greatly appreciated.
1. Is there any particular instrument of choice...which has an edge over the others when it comes down to algorithmic trading? I noticed that a lot of people trade futures. Are they good e.g. for MA crossover algos due to being more smooth...or people prefer them due to the higher leverage? Also what kind of bars go well with those instruments?
2. Is there any general word of advice on which instruments one should focus throughout the different periods of a year?
3. How do you identify a serious drawdown and what is your tolerance before completely pausing a strategy? From what I've learned so far...stopping a well put strategy might be even more responsible task than enabling it in the first place.
Thanks.
