Trading Multiple Strategies With The Same Instrument – Part 2

About the Author Kevin Davey

Kevin Davey is a professional trader and a top performing systems developer. Kevin is the author of “Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading” (Wiley Trading, 2014.) . He generated triple digit annual returns 148 percent, 107 percent, and 112 percent in three consecutive World Cup of Futures Trading Championships® using algorithmic trading systems.His web site, www.kjtradingsystems.com, provides trading mentoring, trading signals, and free trading videos and articles. He writes extensively in industry publications such as Futures Magazine and Active Trader and was featured as a “Market Master” in the book The Universal Principles of Successful Trading by Brent Penfold (Wiley, 2010). Active in social media, Kevin has over 15,000 Twitter followers. An aerospace engineer and MBA by background, he has been an independent trader for over 20 years. Kevin continues to trade full time and develop algorithmic trading strategies.

  • Shane says:

    Thanks for the great article. Have you thought of using Portfolio Trader on Mulitcharts as that is supposedly automatically in some ways creating the super strategy.

  • Thanks for the comment Shane, I appreciate it!

    I have never tried Multicharts to do this, so I can’t comment on how good their approach is. Tradestation is admittedly weak in this area, but still for platform of choice.

    THANKS!

  • Pete says:

    Thanks for sharing this Kevin. I’d tried using the named entries approach but found you can’t rely on it, so it’s good to see a way round the issue – other than opening a separate brokerage account for every strategy!

    • Hi Peter –

      I wish the way I presented was foolproof, and worked in all situations. Of course, it doesn’t. I actually use it for a few strategies, and it seems to work properly.

      Good Luck!

  • Kostas says:

    Thank you for this great article. I wonder about your quote “If it is significant, the pseudo stop price can be adjusted to more closely match the original strategy”. Is it possible to elaborate a little bit on that?

    • Sure, here is what I meant…

      Let’s say your original strategy had a stop loss of $1000. With this approach, now you exit next bar only if the loss is above $XXXX – the pseudo stop. So $XXXX might be $1000, or it might be better to make it smaller (or larger), so that you get as close performance wise to the original $1000 real stop. So what I am saying is that the new pseudo-stop dollar amount does not have to be $1000. Hope this helps

      • Kostas says:

        Kevin thank you very much for the reply. I think that the amount of capital loss when the pseudo stop is hit is not a fixed value as with the classical SL, because it is evaluated on the opening of next bar. In that sense you cannot mimic the performance of a system with a SL. I would suggest to add a safety SL in the summation signal, just to avoid losses in an extreme event. So, when the summed position is not flat one could feel protected using a classical SL.

        • That is a good idea, as long as all strategies you combined together used the same stop loss amount. Thanks for mentioning it.

          • Erik says:

            Instead of the pseudo stop, wouldn’t it be possible to have two stop orders in the market at all times, with a specified number of contracts for each?

  • I know with Tradestation you can only have one stop order active at a time.

    There might be a way to use stop orders (sell next bar at XXXX stop;) though…

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