[jgold437]

I personally use the QT Software for trading strategy development. I don’t use the QT software for overall portfolio building as I have a handful of other trading strategies (mostly options) that I can’t fit into the QT software. I think that it’s something I’ll look into, as I do really value having negatively correlated strategies, but haven’t found the time yet.

I use an excel sheet for my overall portfolio and I make some assumptions about how certain trading strategies/accounts behave and have an overall idea of how correlated the strategies are. For example, my short VIX strategies make money in a flat/up market typically, while loses in a down market (similar to a long equity strategy). I also trade both a modified DOW30 and NASDAQ100 strategy and in my portfolio allocation, I consider the $$$ allocated to the strategy as long equity. While this isn’t perfectly mathematically optimal, I’m more for a simplistic view that is easier to manage.

I’m with Mark that I adjust my strategy parameter/allocations around once a year. It’s not something that I have a predetermined schedule for.

One aspect of QT that I find very helpful is the optimization tool for the strategies. This is because I’m not really looking for the most optimal parameters for a strategy, but looking for the most optimal “range” of parameters; and the optimization matrix shows these ranges easily.

My last advice is I agree with Mark to understand the logic of QT Strategies, basically using a specific set of parameters, what does that mean? How are the stocks selected? Do you care how volatile a stock is or just care about return? etc ….

[jgold437]

At the bottom under strategy parameters:

left column
4th selection down
“use the top n ETFs”

[jgold437]

I would guess that the strategy would work as well. There is the Dow 30, which i understand to be very similar methodology, just some different parameters.

[Author]

Posts