Following is a short TED talk (6 mins) on the word origins. Etymologist Mark Forsyth shares a few entertaining word-origin stories from British and American history. For instance, like how did we ended up with the title "President of United States".
Prior two posts on this top can be found here and here. If you haven't read these posts before then it will be useful to take a quick look at them for continuity.
In part-1, we covered the rules for risk parity, trend following and momentum filters. Then we covered the performance profile of applying risk parity and trend following in asset allocation.
In part-2 we covered the performance profile of applying risk parity & trend following filters together in asset allocation. Then we covered momentum & trend following filters performance when applied to broad asset classes. Then we covered the filters performance when applied to sub-components of broad asset classes.
One issue that came up when applying momentum & trend following filters as a combo overlay was the increased volatility and draw downs. So for the next test, the authors use volatility adjusted momentum ranking.
Volatility adjusted momentum is calculated by dividing the prior 12 month return of the asset by the realized volatility over the same period. Table-8 provides the performance details. Gist is volatility adjusted momentum ranking shows some improvement over unadjusted momentum ranking but not much improvement. Following table provides the performance details.
Finally the authors take a flexible asset allocation approach i.e., instead of defining broad asset classes, they just pool all the sub-components and rank them by momentum and trend-following rules. Then they let market decide into which asset classes one should invest.
The biggest advantage of this is it removes any prejudice from the practitioner on the portfolio composition. In other words, one doesn't need to do any judgement call on whether bonds yields are too low to provide any long term value or whether commodities are poor bet in future etc.
Please let me know if you find this series useful and also any interesting papers you come across. Wish you all good health and good trading!
In part-1, we covered the rules for risk parity, trend following and momentum filters. Then we covered the performance profile of applying risk parity and trend following in asset allocation.
In part-2 we covered the performance profile of applying risk parity & trend following filters together in asset allocation. Then we covered momentum & trend following filters performance when applied to broad asset classes. Then we covered the filters performance when applied to sub-components of broad asset classes.
One issue that came up when applying momentum & trend following filters as a combo overlay was the increased volatility and draw downs. So for the next test, the authors use volatility adjusted momentum ranking. Volatility adjusted momentum is calculated by dividing the prior 12 month return of the asset by the realized volatility over the same period. Table-8 provides the performance details. Gist is volatility adjusted momentum ranking shows some improvement over unadjusted momentum ranking but not much improvement. Following table provides the performance details.
Finally the authors take a flexible asset allocation approach i.e., instead of defining broad asset classes, they just pool all the sub-components and rank them by momentum and trend-following rules. Then they let market decide into which asset classes one should invest.
The biggest advantage of this is it removes any prejudice from the practitioner on the portfolio composition. In other words, one doesn't need to do any judgement call on whether bonds yields are too low to provide any long term value or whether commodities are poor bet in future etc.
Please let me know if you find this series useful and also any interesting papers you come across. Wish you all good health and good trading!
Following are couple of infographs that summarize Fiscal Cliff 2013, its economic consequences and choices.
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Following infograph provides a quick summary on what is Quantitative Easing.
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| What is Quantitative Easing? |
The first part is available here. If you haven't read before then probably it is good idea to read for continuity. In the last post, we covered performance profile of risk parity and trend following respectively when applied to broad asset classes.
The next test is to check how risk parity and trend following overlays (individually and later together) fare when they are applied on sub-components of the broad asset classes.
Tables-3 & 4 provides the performance details along with my annotations. Gist is risk parity doesn't do well. Trend following overlay on top of risk parity improves performance. Trend following overlay as a stand-alone without risk parity has better performance of the three combinations.
The authors next investigate portfolio performance when a momentum is applied both as standalone overlay and in combination with trend following on sub-components of the broad asset classes.
Momentum is a relative concept i.e., an asset can be going down but still have high momentum rank. Whereas trend following is an absolute concept i.e., either the asset is in uptrend and a candidate for asset allocation or it is in downtrend and not a candidate for asset allocation. So combination of these two is attractive and will ensure only assets that are in uptrend and have high momentum will pass. Following table has performance details of this combo overlay along with annotations.
I will cover the remaining paper in next post. Please let me know if you find this format interesting. Wish you all good health & good trading!
The next test is to check how risk parity and trend following overlays (individually and later together) fare when they are applied on sub-components of the broad asset classes.
The authors next investigate portfolio performance when a momentum is applied both as standalone overlay and in combination with trend following on sub-components of the broad asset classes.
Momentum is a relative concept i.e., an asset can be going down but still have high momentum rank. Whereas trend following is an absolute concept i.e., either the asset is in uptrend and a candidate for asset allocation or it is in downtrend and not a candidate for asset allocation. So combination of these two is attractive and will ensure only assets that are in uptrend and have high momentum will pass. Following table has performance details of this combo overlay along with annotations.
I will cover the remaining paper in next post. Please let me know if you find this format interesting. Wish you all good health & good trading!
A nice infograph that explains Stan Weinstein market stages. I think one is much better off using a structure like this to model market and develop setups to play each phase. Instead the route pursued by majority is to get lost in myriad of patterns, equations and trading knowledge accumulation.
Question to ponder - how effective is my R&D and how is it different from majority?
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| Understanding Market Structure |
Be yourself! Everyone else is already taken. ~ Oscar Wilde
Recently I came across following paper - The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation. The paper basically examines the effectiveness of Risk Parity, Trend Following and Momentum approaches for global asset allocation between equities, bonds, commodities and real estate. The paper methodically goes through each of the approaches and later various combinations of them.
Risk Parity Approach
The paper assigns portfolio weights proportional to the inverse of observed volatility. In other words, at the end of each month we calculate the volatility of the asset over last one year and inverse of that is the portfolio weight for that asset for that month.
Trend Following Approach
Under this approach, buy an asset if the asset class price is above X-month moving average. Sell the asset, if price is below the X-month average and invest the proceeds in US 3-month Treasury bills. Signals are determined on end of month basis. No shorts. Only buys.
Finally, each asset class has an equal weight in the portfolio. That means if all 5 assets price is above X-month moving average, then each asset gets 20% of the portfolio weight. Instead, if only 3 assets has price above the moving average, then each of those 3 assets gets 20% of portfolio with rest in 3-month Treasury bills.
Momentum Approach
Under this approach, at the end of each month all the asset classes are ranked based on their performance over last 12 months. Then buy the top quarter of the ranked assets and sell any assets in portfolio that are not in top quarter. Repeat this every month.
Another alternative is to buy the top half of the ranked assets and sell any assets that are not in top quarter. Finally each asset class has an equal weight in the portfolio.
The table provides performance stats for (a) 5 assets classes (i.e., benchmark returns) (b) performance stats for Trend following approach, (c) performance stats for Risk Parity approach and (d) Risk Parity with trend following. Additional details are on the table itself along with my annotations.
This paper has additional concepts and tables. Covering them will require couple more posts. If you cannot wait then following is the link to the journal paper.
Risk Parity Approach
The paper assigns portfolio weights proportional to the inverse of observed volatility. In other words, at the end of each month we calculate the volatility of the asset over last one year and inverse of that is the portfolio weight for that asset for that month.
Trend Following Approach
Under this approach, buy an asset if the asset class price is above X-month moving average. Sell the asset, if price is below the X-month average and invest the proceeds in US 3-month Treasury bills. Signals are determined on end of month basis. No shorts. Only buys.
Finally, each asset class has an equal weight in the portfolio. That means if all 5 assets price is above X-month moving average, then each asset gets 20% of the portfolio weight. Instead, if only 3 assets has price above the moving average, then each of those 3 assets gets 20% of portfolio with rest in 3-month Treasury bills.
Momentum ApproachUnder this approach, at the end of each month all the asset classes are ranked based on their performance over last 12 months. Then buy the top quarter of the ranked assets and sell any assets in portfolio that are not in top quarter. Repeat this every month.
Another alternative is to buy the top half of the ranked assets and sell any assets that are not in top quarter. Finally each asset class has an equal weight in the portfolio.
The table provides performance stats for (a) 5 assets classes (i.e., benchmark returns) (b) performance stats for Trend following approach, (c) performance stats for Risk Parity approach and (d) Risk Parity with trend following. Additional details are on the table itself along with my annotations.
This paper has additional concepts and tables. Covering them will require couple more posts. If you cannot wait then following is the link to the journal paper.
I came across an interesting Ted Talk. The talk (20 min) is about the Left and Right hemispheres of the brain and how our perception changes when one hemisphere of the brain shuts off. Jill Bolte got a research opportunity few brain
scientists would wish for: She had a massive stroke, and watched as her
brain functions -- motion, speech, self-awareness -- shut down one by
one.
It is really a rare coincidence i.e., Jill Bolte herself is a brain scientist, courageous enough to observe and understand her brain from inside out through the stroke and recuperated enough to spread what she observed when her left brain hemisphere shut on and off during the stroke that lasted for 4 hours.
"We turn to God for help when our foundations are shaking, only to learn that it is God who is shaking them. For difficulties are divine surgeries to make us better..."
This post creates a simple calendar trading strategy by combining some of the edges/odds from various day of month tests we did in prior posts. If this is your first visit, then it might be useful to see those calendar based test posts (and the results) and then come back to this. As part of that series, we covered day of month edges without any filters and later under various regimes like trend, volatility, mean reversion, price pattern etc.
Now there are multiple ways one can combine these edges so that the little edges/odds fit together to create a bigger edge. I think two crucial ingredients for a calendar strategy are (a) figuring the right combination of odds/edges and (b) detecting early on when the strategy edge fades (see red thick lines on chart).
Following is one simple way to combine couple of these edges. For example, from prior tests we know last part of the month has better positive edge and lower draw down. Similarly we saw returns were better in bull market regime compared to bear market regime. Similarly mean reversion days produced better returns than non mean reversion days. So how about we combine couple of these individual edges?
Test:
Buy @ market the next day open if -
(a) Today is an MR day (and)
(b) We are in bull market i.e., Today's close greater than 200 Simple moving average.
(c) Today is near end of the month. (See Equity Curves image for top 5 days).
Sell @ market the next day open after 5 trading days.
Caveats: Results are friction-less i.e., no slippage & no commission.
Duration: 1970 - 2012 Sept.
Some notes...
The bar plot panel shows the performance profile for all days of the month. The days near the end of the month have better profile then other days of the month.
The performance summary image shows the cumulative return, max drawdown and monthly returns for top 5 calendar days during test period. It is good to see all top 5 days are near end of the month.
Except for one, the max drawdown for these days is less than 10%. Actually one can reduce the drawdowns further by adding one additional filter we covered in prior posts. One red flag to watch in this test - performance of days 26-29 were not in top 5 days.
Finally, the above test is neither the only way nor the best way to combine the calendar odds to make the edge bigger/better. Prior posts on calendar day series provides the rules for each of the tests and lots of data for interested readers to experiment further.
Wish you all good health & good trading!
Now there are multiple ways one can combine these edges so that the little edges/odds fit together to create a bigger edge. I think two crucial ingredients for a calendar strategy are (a) figuring the right combination of odds/edges and (b) detecting early on when the strategy edge fades (see red thick lines on chart).
Following is one simple way to combine couple of these edges. For example, from prior tests we know last part of the month has better positive edge and lower draw down. Similarly we saw returns were better in bull market regime compared to bear market regime. Similarly mean reversion days produced better returns than non mean reversion days. So how about we combine couple of these individual edges?
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| Day of Month performance profile - Trend & MR Regime |
Test:
Buy @ market the next day open if -
(a) Today is an MR day (and)
(b) We are in bull market i.e., Today's close greater than 200 Simple moving average.
(c) Today is near end of the month. (See Equity Curves image for top 5 days).
Sell @ market the next day open after 5 trading days.
Caveats: Results are friction-less i.e., no slippage & no commission.
Duration: 1970 - 2012 Sept.
Some notes...
The bar plot panel shows the performance profile for all days of the month. The days near the end of the month have better profile then other days of the month.
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| Performance Summary - Top 5 days |
Except for one, the max drawdown for these days is less than 10%. Actually one can reduce the drawdowns further by adding one additional filter we covered in prior posts. One red flag to watch in this test - performance of days 26-29 were not in top 5 days.
Finally, the above test is neither the only way nor the best way to combine the calendar odds to make the edge bigger/better. Prior posts on calendar day series provides the rules for each of the tests and lots of data for interested readers to experiment further.
Wish you all good health & good trading!
Recently I came across a nice free app that helps one to reduce the stress and get back into the game quickly with increased alertness, energy level and productivity.
We all know more or less that meditation and cultivating mindfulness is very important to reduce stress and to improve our well being in general. But problem is majority of us don't do a regular meditation/mindfulness practice even after knowing it is highly beneficial to us. The reasons often are something like "I don't have time to meditate", "Meditation is boring", "I don't have discipline to meditate regularly" or "When I sit still and meditate, it makes me more anxious" etc.
I think this app provides a good solution to above challenges i.e., it has 5 short practical exercises for the user to chose one from for the day and each of the exercises takes just 30 seconds. Also the exercises can be done anywhere and anytime of the day. (Note: Don't do the exercises while driving etc). The exercises are simple and designed to interrupt our automatic mindless thinking and bring us quickly into present moment.
There are multiple gateways (breath, sight, hearing...) available to us to come into the present moment. The exercises in the app are designed such that each exercise uses a different gateway to the present moment. All we need to do is just follow the simple instructions given for that exercise. No need of lot of preparation or scheduling a time slot in our calendar etc.
Probably I should favor all exercises equally but for now my favorite exercises are Deep seeing, Deep hearing and Deep breathing. For deep breathing exercise, by the time I do 3-4 breaths, 30 seconds is complete. So 10 deep breaths takes a minute or more. 3-4 breaths is also good enough to see the difference. Deep contact exercise is bit confusing. But that is fine as I do a similar exercise which I picked up in past from one of the Eckhart Tolle's books.
On a side note, given these exercises are so simple, quick and can be done anywhere/any time of the day, it would be great if this functionality is available as a mobile app in future. All in all, I think the exercises are great and beneficial to include in daily routine. Don't let the simplicity of exercises trick you. Best way to evaluate is to just try the exercises and see how you feel immediately afterwards.
Link: 30 seconds to Flush stress
Disclaimer:
The above are just my opinions and your experience/benefits from usage could be different from mine. I am not affiliated and don't gain anything by others usage of this app.
We all know more or less that meditation and cultivating mindfulness is very important to reduce stress and to improve our well being in general. But problem is majority of us don't do a regular meditation/mindfulness practice even after knowing it is highly beneficial to us. The reasons often are something like "I don't have time to meditate", "Meditation is boring", "I don't have discipline to meditate regularly" or "When I sit still and meditate, it makes me more anxious" etc.
I think this app provides a good solution to above challenges i.e., it has 5 short practical exercises for the user to chose one from for the day and each of the exercises takes just 30 seconds. Also the exercises can be done anywhere and anytime of the day. (Note: Don't do the exercises while driving etc). The exercises are simple and designed to interrupt our automatic mindless thinking and bring us quickly into present moment.
There are multiple gateways (breath, sight, hearing...) available to us to come into the present moment. The exercises in the app are designed such that each exercise uses a different gateway to the present moment. All we need to do is just follow the simple instructions given for that exercise. No need of lot of preparation or scheduling a time slot in our calendar etc.
Probably I should favor all exercises equally but for now my favorite exercises are Deep seeing, Deep hearing and Deep breathing. For deep breathing exercise, by the time I do 3-4 breaths, 30 seconds is complete. So 10 deep breaths takes a minute or more. 3-4 breaths is also good enough to see the difference. Deep contact exercise is bit confusing. But that is fine as I do a similar exercise which I picked up in past from one of the Eckhart Tolle's books.
On a side note, given these exercises are so simple, quick and can be done anywhere/any time of the day, it would be great if this functionality is available as a mobile app in future. All in all, I think the exercises are great and beneficial to include in daily routine. Don't let the simplicity of exercises trick you. Best way to evaluate is to just try the exercises and see how you feel immediately afterwards.
Link: 30 seconds to Flush stress
Disclaimer:
The above are just my opinions and your experience/benefits from usage could be different from mine. I am not affiliated and don't gain anything by others usage of this app.
Last Thursday markets had strong up move (WRB) and also a new high. Thought it might be interesting to see how did S&P 500 perform afterwards in last 40 years.
Test: Close - Open > 2% and Market is at/near its 50 day high.
Caveats: Results are frictionless i.e., no commissions, no slippage.
Duration: 1970 - 2012 Sept.
Thoughts: From results, it appears market has better than random odds of upward bias after 30 bars (i.e., 1.5 months). On surface it appears market had upward bias in short term as well (i.e., less than 30 bars) but results breakup (i.e., 1970-2000 and 2000-2012) tell different story. More details on the image itself. On side note, I am not sure what's special with 30 bars but it seems to have better odds then other durations covered in the test.
Wish you all good health & good trading!
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| S&P 500 - WRB & 50day High Test |
Caveats: Results are frictionless i.e., no commissions, no slippage.
Duration: 1970 - 2012 Sept.
Thoughts: From results, it appears market has better than random odds of upward bias after 30 bars (i.e., 1.5 months). On surface it appears market had upward bias in short term as well (i.e., less than 30 bars) but results breakup (i.e., 1970-2000 and 2000-2012) tell different story. More details on the image itself. On side note, I am not sure what's special with 30 bars but it seems to have better odds then other durations covered in the test.
Wish you all good health & good trading!
This part of the series examines the calendar day of month returns profile by price action of the underlying index (S&P 500). You can find earlier posts of this series here - Part1, Part2, Part3. Now price action of a market can take many forms (patterns).
So as a starting point, for this post, I classified price action into two categories - mean reversion (MR) and non mean reversion (Non-MR). In later posts, my intention is to cover specific patterns like Toby Crabel NR7, NR4, Hook etc.
Some Definitions:
Caveats - Friction less results.
Results:
Calendar returns by MR Day shows good positive edge around 3rd week of the month inline with other studies.
Calendar returns by Non-MR day shows positive edge around 9th/10th day of the month. I have to check again other posted results to see if the edge shows up there also. For now I don't think it is as good as the other edges though.
What else do you see in the results?
Side note:
Originally I started the series with intention to validate and to create a better "End of Month" strategy. Some savvy readers might have noticed by now that one can develop multiple strategies from the results of these studies and not just "End of Month" strategy. For example, do you notice any thing particular in the results of the last post? Also one can build day trading strategies like Opening Range Breakout (ORB) building upon these type of studies. So my revised thinking is to keep this series going focusing on calendar day performance profile by various criterion and do some strategy posts as a separate series in parallel. Thoughts? Feedback?
Wish you all good health & good trading!
So as a starting point, for this post, I classified price action into two categories - mean reversion (MR) and non mean reversion (Non-MR). In later posts, my intention is to cover specific patterns like Toby Crabel NR7, NR4, Hook etc.
Some Definitions:- MR Day - Today's close is lower than close two days ago.
- Non-MR Day - Today's close is higher than close two days ago.
- Calendar returns by MR Day - If today is an MR Day, buy @ market the next day open and sell after 5 days.
- Calendar returns by Non-MR Day - If today is a Non-MR Day, buy @ market the next day open and sell after 5 days.
Caveats - Friction less results.
Results:
Calendar returns by MR Day shows good positive edge around 3rd week of the month inline with other studies.
Calendar returns by Non-MR day shows positive edge around 9th/10th day of the month. I have to check again other posted results to see if the edge shows up there also. For now I don't think it is as good as the other edges though.
What else do you see in the results?
Side note:
Originally I started the series with intention to validate and to create a better "End of Month" strategy. Some savvy readers might have noticed by now that one can develop multiple strategies from the results of these studies and not just "End of Month" strategy. For example, do you notice any thing particular in the results of the last post? Also one can build day trading strategies like Opening Range Breakout (ORB) building upon these type of studies. So my revised thinking is to keep this series going focusing on calendar day performance profile by various criterion and do some strategy posts as a separate series in parallel. Thoughts? Feedback?
Wish you all good health & good trading!
Continuing the series, this part examines the calendar day of month returns by volatility regime. You can find the prior two posts here and here. Now classifying volatility regimes into various levels is bit tricky. Often the approach taken is to measure and divide the volatility of market into static levels to classify as high/low/medium etc. Example: VIX level below 15 as low etc or historical volatility ratio above 30 as high etc. My preference is to use dynamic metrics that both adapt with market character and are also relevant to the cycle length of the strategy being evaluated.
Volatility Regime:
For this test, my definition of volatility regime and classification is as follows - Calculate the 50 day historical volatility of the underlying market. Then calculate the percentile rank of historical volatility for today in relation to last 20 days volatility. Then place current day volatility rank into one of the four buckets - (0-25), (25-50), (50-75) and (75-100).
Range 0-25 is the lowest volatility bucket, 75-100 is the highest volatility bucket and rest in between. There is nothing special about dividing the volatility range into 4 quarters. We could have as well classified into 3 parts or as 5 parts.
Test:
The test details are same as described in the first post except for one extra condition i.e., take trade only if today's volatility rank is in (0-25) bucket (for calendar strategy test in low volatility regime). Same for others volatility ranges. Same caveats as in prior posts apply here.
Results discussion:
I have intentionally left discussion of results in this and prior posts. My thinking was it is more fruitful for everyone to see the raw data, derive own conclusions and share with me & other readers your thoughts in either comments/LinkedIn discussion threads of this blog. That way I also gain new insights and learn something from you on these studies/concepts strength and weaknesses.
Thoughts on Max Drawdown..
On surface, the drawdown numbers of these studies appear quite high. So it is natural to write off and move on to something else. Unlike other studies, I am developing this strategy as I go along. So I don't know yet the direction this series takes or what the final numbers look like. But I think pursuing the concept is still promising for following reasons.
The strategy shows consistently positive edge (see this and last 2 studies) during certain days of the month for last 40 years. And the positive edge shows up on days different from conventional wisdom regarding End of Month strategies. For things related to market, I generally like stuff that either majority ignores or goes against their understanding.
Also at this stage we are just assessing whether the concept has positive edge or not with a dumb entry & exit tactic. There are several things one can do to reduce max drawdown significantly by the time strategy reaches final stages like fine tuning of entry tactics based on price action/stop losses/dynamic exit tactics/equity curve based money management/position sizing based on regime/volatility etc.
Third reason is the correlation of this to other methods. I have not yet done study but conceptually it appears to me this strategy results will likely have low correlation to other timing approaches and to SP500 returns. That makes the strategy pretty potent.For an idea, see the strategy diversification study (posted on blog couple weeks back) and the performance graphs (cumulative returns, max DD etc) of individual systems and combined portfolio. See also time diversification study.
Readers
I look forward to hear your thoughts and suggestions. We learn most when our views differ. So feel free to share your thoughts and more so if your views are opposite to above or on aspects not covered by above post.
Wish you all good health and good trading!
(Correction: Sept-04-2012...Updated the post with correct results image)
Volatility Regime:
For this test, my definition of volatility regime and classification is as follows - Calculate the 50 day historical volatility of the underlying market. Then calculate the percentile rank of historical volatility for today in relation to last 20 days volatility. Then place current day volatility rank into one of the four buckets - (0-25), (25-50), (50-75) and (75-100).
Range 0-25 is the lowest volatility bucket, 75-100 is the highest volatility bucket and rest in between. There is nothing special about dividing the volatility range into 4 quarters. We could have as well classified into 3 parts or as 5 parts.
Test:
The test details are same as described in the first post except for one extra condition i.e., take trade only if today's volatility rank is in (0-25) bucket (for calendar strategy test in low volatility regime). Same for others volatility ranges. Same caveats as in prior posts apply here.
Results discussion:
I have intentionally left discussion of results in this and prior posts. My thinking was it is more fruitful for everyone to see the raw data, derive own conclusions and share with me & other readers your thoughts in either comments/LinkedIn discussion threads of this blog. That way I also gain new insights and learn something from you on these studies/concepts strength and weaknesses.
On surface, the drawdown numbers of these studies appear quite high. So it is natural to write off and move on to something else. Unlike other studies, I am developing this strategy as I go along. So I don't know yet the direction this series takes or what the final numbers look like. But I think pursuing the concept is still promising for following reasons.
The strategy shows consistently positive edge (see this and last 2 studies) during certain days of the month for last 40 years. And the positive edge shows up on days different from conventional wisdom regarding End of Month strategies. For things related to market, I generally like stuff that either majority ignores or goes against their understanding. Also at this stage we are just assessing whether the concept has positive edge or not with a dumb entry & exit tactic. There are several things one can do to reduce max drawdown significantly by the time strategy reaches final stages like fine tuning of entry tactics based on price action/stop losses/dynamic exit tactics/equity curve based money management/position sizing based on regime/volatility etc.
Third reason is the correlation of this to other methods. I have not yet done study but conceptually it appears to me this strategy results will likely have low correlation to other timing approaches and to SP500 returns. That makes the strategy pretty potent.For an idea, see the strategy diversification study (posted on blog couple weeks back) and the performance graphs (cumulative returns, max DD etc) of individual systems and combined portfolio. See also time diversification study.
Readers
I look forward to hear your thoughts and suggestions. We learn most when our views differ. So feel free to share your thoughts and more so if your views are opposite to above or on aspects not covered by above post.
Wish you all good health and good trading!
(Correction: Sept-04-2012...Updated the post with correct results image)
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