191: Combining Algos using State-Based Market Design – Richard Metzger
Better System Trader
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How Do You Combine a Long and a Short Algorithm?
In this case, and you can start seeing where the creativity comes in too because you've got your long algorithm that will do good in the strong up. And I think it, yeah, so it was up about 7% on average in those cases. Now if you add the short algo or the one that does good in a down moving market, maybe some kind of a 10 year note or 30 year algo. Instead now if that one lost 7%, obviously that wouldn't be good because you make on average seven, but you lose on average seven and you're at zero. The point behind this kind of design methodology is not that you're able to predict when the market will be
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