It's all about the Sharpe Ratio and algorithm diversification

I would like to start a thread for like minded traders that are using multiple models to create an
aggregate stand alone trading system for forex.

I have roughly 100 algorithms and when I combine those with offsetting characteristics I am able to achieve a Sharpe Ratio north of 6.0

Is anyone out there following a similar path of combining multiple (offsetting algorithms) to achieve superior risk adjusted alpha?

Of course, diversification is the key to a smooth equity curve. It's finding multiple systems with a positive expectancy that's the difficulty. Well done for finding 100 profitable algos...

Thank you. Hard work. 4 years in the making!

I have 100+ algorithms ranging from statistical arbitrage to true arbitrage (obviously with combined flow from the stat arb).

I have found the interaction between the models is what is important.

For those quants out there, we all know that more important than the Sharpe above 6.0 is the M Squared is 86 and the max drawdown is below 5%.

Let me know if anyone wants me to share. I would be willing to do that off line. The impressive part is that the sub-models are not demo, they are tested live.

Just send me your email privately.

I wonder how you combine your systems to calculate your result....

For me I would have to use a spreadsheet and enter the results in some format.....

Perhaps you can outline some routine for gathering and processing the informatopn

Some good comments. Thank you!

Hello pairs18,

send me your email address, you seem to be not able to receive private message.

Best regards.

-guandi

I am keen.

Email: [email protected]

combining 100+ algo is not a human job.

adorable if so

please, add mine: [email protected]

thanks.

i still think that one simple concept can be a holy grail.