Dravyaniti Consulting LLP
How often have we across trading strategies that work well in back-test, but don’t do as well after going live. Or they may do well, and then stop working abruptly. The problem is very challenging to deal with, especially when clients also start losing faith with the draw-down duration getting extended. What is, then a way to get the edge on your side? How to design effective systems which gain advantage of price moves when in favour, but go on the defensive when the markets are not in favour. This is a classic combination of combining defensive and attacking strategies simultaneously, to build highly effective systems. By combining price action and indicators on multiple time-frames, analysing larger chunks of data like a parallel processor would do, we can make more robust and profitable strategies.
In the talk, I’ll be showing: a) Guide-lines around how to select time-frames, and selection of indicators to apply on the different time-frames. b) Compare and show some couple of examples from single time-frame systems v/s multi-time frame systems coded in Julia in different asset classes.
I have been involved in systematic trading for the past 10 years and developed over a 100 models across various frequencies i.e. high, medium and low, across global markets. Currently, I manage a suite of non-correlated strategies which are being used by Proprietary Desks, Hedge Funds, High Net Worth Individuals to manage their portfolio risks and generate absolute returns. A large part of the reason of our systems having survived is due to the usage of Multiple Time Frames in analysing market data, and using Julia to work with multiple Time-Series in parallel.
I have coded in multiple languages using VBA, C++, Java, Python, Julia and have hands on experienced working on large scale complex projects for enterprises. I found trading systems to be the area that helps me use and apply multi-disciplinary skills and I continue to learn and develop on that. It’s a journey, which I believe is best lived by sharing ideas and continuously growing, learning from mistakes.
