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Moreover...

A time consuming post
This graphic below shows clearly the problem of trading high correlation systems. (it was time consuming to write & I'm assuming it going to take a lot longer to read & unpack how I trade)

The analysis 'Buy' report below (The first report) shows 4 very important things:
1. What positions to buy (SAR & EVN) Signal generated on 11th Jan, Friday - Purchased on 14th Jan, Monday (VWAP = opening price)
2. The quantity to buy of (SAR - 8,200 shares) & (EVN - 6,472 shares)
3. What price to offer in the pre-action for (SAR - $3.05) & (EVN - $3.87) Settled at (SAR - $3.00) & (EVN - $3.81)
4. What strategy gave me the "Buy signal" (SAR got the signal from BBO & Darvas) whereas (EVN got the signal from Darvas only)

Signals
1. (SAR) got the buy signal from the BBO strategy & also got a signal from the DARVAS strategy. The BlueWren strategy didn't acknowledge the signal at all.
2. (EVN) received it signal from the DARVAS strategy only. The BlueWren strategy didn't pick up a signal at all, only Darvas.

The original correlation issue using $50k positions
1. I would be holding $100k position in (SAR) & liquidity & slippage would now be an issue for me but after the captains advice this issue is resolved.
2. (EVN) these is no correlation in this example so a $50k position would have been taken.

Two analysis reports that are exactly the same (The report I see & the other with scribble on it)
After looking at the Amibroker analysis report I shouldn't have written on it as it doesn't look like a clean report. I make another without the scribble.

1. Amibroker [Explore] analysis report (buy signal - actual position currently being held)
[ATTACH=full]91842[/ATTACH]

2. Amibroker [Explore] analysis report (with explanations)
[ATTACH=full]91840[/ATTACH]

Disclaimer (I'm currently in the move)
(SAR) I'm in this trade at the moment & this chart show the actual Bar I got the Buy Signal & the actual Buy purchase bar
[ATTACH=full]91843[/ATTACH]

Disclaimer (I'm currently in the move)
(EVN) I'm in this trade at the moment & this chart show the actual Buy Signal Bar & the actual Buy Bar.
[ATTACH=full]91844[/ATTACH]

The issue is now fixed
I trust this explains why you shouldn't trade high correlated strategies.

Skate.

<blockquote data-quote="Skate" data-source="post: 1013149" data-attributes="member: 57364">Moreover...A time consuming postThis graphic below shows clearly the problem of trading high correlation systems. (it was time consuming to write &amp; I&#039;m assuming it going to take a lot longer to read &amp; unpack how I trade)The analysis &#039;Buy&#039; report below (The first report) shows 4 very important things:1. What positions to buy (SAR &amp; EVN) Signal generated on 11th Jan, Friday - Purchased on 14th Jan, Monday (VWAP = opening price)2. The quantity to buy of (SAR - 8,200 shares) &amp; (EVN - 6,472 shares)3. What price to offer in the pre-action for (SAR - $3.05) &amp; (EVN - $3.87) Settled at (SAR - $3.00) &amp; (EVN - $3.81)4. What strategy gave me the &quot;Buy signal&quot; (SAR got the signal from BBO &amp; Darvas) whereas (EVN got the signal from Darvas only)Signals1. (SAR) got the buy signal from the BBO strategy &amp; also got a signal from the DARVAS strategy. The BlueWren strategy didn&#039;t acknowledge the signal at all.2. (EVN) received it signal from the DARVAS strategy only. The BlueWren strategy didn&#039;t pick up a signal at all, only Darvas.The original correlation issue using $50k positions1. I would be holding $100k position in (SAR) &amp; liquidity &amp; slippage would now be an issue for me but after the captains advice this issue is resolved.2. (EVN) these is no correlation in this example so a $50k position would have been taken.Two analysis reports that are exactly the same (The report I see &amp; the other with scribble on it)After looking at the Amibroker analysis report I shouldn&#039;t have written on it as it doesn&#039;t look like a clean report. I make another without the scribble.1. Amibroker [Explore] analysis report (buy signal - actual position currently being held)&nbsp;[ATTACH=full]91842[/ATTACH]2. Amibroker [Explore] analysis report (with explanations)[ATTACH=full]91840[/ATTACH] Disclaimer (I&#039;m currently in the move)(SAR) I&#039;m in this trade at the moment &amp; this chart show the actual Bar I got the Buy Signal &amp; the actual Buy purchase bar [ATTACH=full]91843[/ATTACH] Disclaimer (I&#039;m currently in the move)(EVN) I&#039;m in this trade at the moment &amp; this chart show the actual Buy Signal Bar &amp; the actual Buy Bar.[ATTACH=full]91844[/ATTACH] The issue is now fixedI trust this explains why you shouldn&#039;t trade high correlated strategies.Skate.</blockquote>

[QUOTE="Skate, post: 1013149, member: 57364"] Moreover... [B]A time consuming post[/B] This graphic below shows clearly the problem of trading high correlation systems. (it was time consuming to write & I'm assuming it going to take a lot longer to read & unpack how I trade) [B] The analysis 'Buy' report below (The first report) shows 4 very important things:[/B] 1. What positions to buy ([B]SAR [/B]& [B]EVN[/B]) Signal generated on 11th Jan, Friday - Purchased on 14th Jan, Monday (VWAP = opening price) 2. The quantity to buy of ([B]SAR - 8,200 shares[/B]) & ([B]EVN - 6,472 shares[/B]) 3. What price to offer in the pre-action for ([B]SAR - $3.05[/B]) & ([B]EVN - $3.87[/B]) Settled at[B] (SAR - $3.00) [/B]& [B](EVN - $3.81)[/B] 4. What strategy gave me the "Buy signal" ([B]SAR [/B]got the signal from [B]BBO [/B]&[B] Darvas[/B]) whereas ([B]EVN[/B] got the signal from [B]Darvas[/B] only) [B]Signals[/B] 1. (SAR) got the buy signal from the BBO strategy & also got a signal from the DARVAS strategy. The BlueWren strategy didn't acknowledge the signal at all. 2. (EVN) received it signal from the DARVAS strategy only. The BlueWren strategy didn't pick up a signal at all, only Darvas. [B]The original correlation issue using $50k positions[/B] 1. I would be holding $100k position in (SAR) & liquidity & slippage would now be an issue for me but after the captains advice this issue is resolved. 2. (EVN) these is no correlation in this example so a $50k position would have been taken. [B]Two analysis reports that are exactly the same[/B] (The report I see & the other with scribble on it) After looking at the Amibroker analysis report I shouldn't have written on it as it doesn't look like a clean report. I make another without the scribble. [B]1. Amibroker [Explore] analysis report [/B](buy signal - actual position currently being held) [ATTACH=full]91842[/ATTACH] [B]2. Amibroker [Explore] analysis report (with explanations)[/B] [ATTACH=full]91840[/ATTACH] [B] Disclaimer [/B](I'm currently in the move) (SAR) I'm in this trade at the moment & this chart show the actual Bar I got the Buy Signal & the actual Buy purchase bar [ATTACH=full]91843[/ATTACH] [B]Disclaimer [/B](I'm currently in the move) (EVN) I'm in this trade at the moment & this chart show the actual Buy Signal Bar & the actual Buy Bar. [ATTACH=full]91844[/ATTACH] [B] The issue is now fixed[/B] I trust this explains why you shouldn't trade high correlated strategies. Skate. [/QUOTE]

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