This notebook investigates the outcome of combining two negatively correlated intraday futures strategies. The first strategy is an intraday futures mean-reversion algo the second strategy is a intraday futures momentum algo. The combined result has significantly higher Sharpe and lower volatility than individual strategies.
Combining intra-day futures strategies with negative correlation produces portfolio Sharpe of 3.
Hey Charles,
Very cool analysis. Do you have an idea of what the challenges of trading this might be? You're applying both a momentum and mean reversion model, are they on similar timeframes? How often do the models produce opposite signals, etc. I'm not an expert in futures so I'm legitimately curious here.
Overall though you're demonstrating the power of independent model diversification.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.