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Tuesday, October 4, 2022

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Comparison Automated trading systems

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 Guy Pirotsky, VP Business Development, Investments Management

 Thursday, October 3, 2013

I have few Systems and I need to allocate money between them. I have created my own criterions based on Age of the strategy, Profitability, Volatility, and Risk. I use quantitative parameters to compare such as CAGR, Sharpe Ratio, Sortino, Ulcer Index, K-Ratio etc. I have assigned relative weights to each criterion, This way every strategy can get a total Score and then I can compare strategies based on this Score and allocate money according to this Score. I wanted to hear you thought about this. Thanks


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4 comments on article "Comparison Automated trading systems"

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 Don Peters, Retired Senior Project Manager / Quantitative stock trader

 Sunday, October 13, 2013



Diversification is not achieved by trading more systems, it is achieved by trading more non-correlated strategies. I evaluate my strategies based on Return, Risk, and Correlation (to the market and the other strategies), and allocate accordingly. Diversification does not imply negative expectancy, but no strategy (that I have) profits continually. By including strategies with low and negative correlation, when one is going through a drawdown, often I am making money on something else. This smooths out the overall equity return and that is what I want.


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 Guy Pirotsky, VP Business Development, Investments Management

 Sunday, October 13, 2013



Fully agree with you, when I say I apply bigger weight to correlation , I mean that system with weekly or negative correlation has bigger rating multiplied by weight and thus this strategy gets bigger allocation.

We have started a new multi-algo hedge fund and I am looking for new algo strategies that weekly correlated with our portfolio.

few additional requirements:

1. Strategy developer has proven trading experience

2. Systems are fully automatic

3. Short strategy description, back-testing information.

4. Trade liquid and publicly traded assets - Cash equities, FX and futures.

5. System developer has to run and monitor the system by himself

6. Real performance for at least 12 months (confirmed by certified broker reports)

Let me know if you find any trading system that fits our initial requirements as we offer 10 % of our part for introducing Trading System


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 Guy Pirotsky, VP Business Development, Investments Management

 Wednesday, October 16, 2013



thank you for your comments. I will apply the methods to select best strategies.

I am looking for superior fully automatic trading systems that can fit into our portfolio.

I would like to ask traders with Fully automated strategies to send to me the real trading results. I would like to apply the discussed criterion's and see if I can allocate money for such systems and share the management and performance fee's with traders. You can connect to me or send to me email at guy@qarisma.co


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 Thomas Schlebusch, CIO at NMRQL Research Pty(Ltd)

 Monday, October 28, 2013



You could also use a particle swarm optimiser PSO, where you create a swarm of Systems, that are competing based on some utility function. The money allocated then gets allocated based on a function of this utiliry and the rate of allocation can be controlled based on some algorithm incorporating the utility. Have a look at www.biocompdakota.com. Developed n neat little system that does this.

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