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Filter / rotational enabling of multiple systems based on EQ?

  • #1
  • First Post: Jan 31, 2023 12:50pm Jan 31, 2023 12:50pm
One thing that I have started to think about is if there would be any advantages to having additional filters for trading more than "a" system. More like a system of system.

Let's say that I have 20 systems / EA (different currencies, timeframes, parameters etc. ), but in total 20 systems that are reasonably uncorrelated. I guess the normal way most trade this is to have all 20 running, but what if there were additional filters on this, like that only those systems that are above a MA (or any other suitable parameter) are traded? The tracking of the performance must of course be made "offline", so trades are tracked even if the actual system does not place any orders (like back testing SW). The result may be that only 15 are traded at one point, 20 at another, and 10 at a third time.

The major benefit would also be that you safeguard the system you have if it no longer works => no trading.

But I can't find anything about this... You are basically trading the equity line but on a system level. I would sure be a question more people then myself would have askt themself. But I cant find anything about this... but I may search in the wrong places (or wrong terminology).

Any thoughts about this?
  • #2
  • Jan 31, 2023 7:11pm Jan 31, 2023 7:11pm
Quoting opzopz
One thing that I have started to think about is if there would be any advantages to having additional filters for trading more than "a" system. More like a system of system.

Let's say that I have 20 systems / EA (different currencies, timeframes, parameters etc. ),

Any thoughts about this?
//-----

for (int i=0;i<count;i++)
{



a single ea can trade a reasonable number of systems with a reasonable number of conditions on a reasonable number of pairs on a reasonable number of timeframes.....

such as the typical macd ea included with the platform.....

you could cascade thru additional "filters" ..... so essentially you might have a single ea which has a dozen macd systems with each it's own unique parameters to trade.....

you could cascade thru additional "pairs"..... here again, each pair could have it's own unique parameters to trade.....

you could cascade thru additional timeframes...... so each timeframe might have it's own unique parameters for each macd system on each pair......
//----

you could do the same thing with multicollinearity indicators/systems, uncorrelated like you mentioned.....

this will be difficult here in the states due to our ridiculous fifo and no hedge rules......

//-----

it can be done......

very few do......h

//----

Inserted Code
       int    count  = SymbolsTotal(true);  
       int    tfs[]  = {5,15,30,60,240,1440,10080,43200};           
     
                         
       for (int i=0;i<count;i++) 
        {
        string symbol   = SymbolName(i,true);
                 
             for(int j = 0; j < 7; j++)
             {              
             bool psar   = (iSAR(symbol,tfs[j],0.01,0.2,0) < iClose(symbol,tfs[j],0));
              
             bool bbands = (iCustom(symbol,tfs[j],"bbands stops",20,0,0,2.0,1,0) > iCustom(symbol,tfs[j],"bbands stops",20,0,0,2.0,0,0));  
            
             bool hma    = iCustom(symbol,tfs[j],"HMA",20,0,0)   > iCustom(symbol,tfs[j],"HMA",20,0,1);
             
             bool zigzag = zigzag(symbol,tfs[j]);
to trade and code, keep both simple... no call to impress....h
  • #3
  • Last Post: Feb 1, 2023 1:40am Feb 1, 2023 1:40am
Well... thanks for your reply, but my thought was not the code or algo mechanism behind this. My main thought was why this approach not is discussed at all.
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