"Combining Algos using State-Based Market Design" – Richard Metzger

Richard Metzger from Quantsys.net joins us to discuss how to combine algos using state-based market design techniques for more consistent trading performance, including:

● Why it's important to be sceptical of your algos,
● The main causes of poor algo performance and how state-based market design can address these issues,
● How to define market states into "buckets" and why you should keep them simple,
● Combining state-based algos to create a system, plus
● Adjusting inputs for market states, combining strategies in Tradestation, market states vs regime filters, and much more!

► You can discover more from Richard at http://www.quantsys.net

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** Timestamps **
00:00 Getting started
01:35 How Richard got started in trading
03:37 Why it's important to be sceptical of your algos
05:45 The main causes of poor algo performance
07:25 The concept of State-based market design
10:20 How to define market states into "buckets"
13:30 Visual example of market states
18:00 Market states split into 3 buckets
19:50 Why use points to define states
22:40 Using ATR to define states
24:30 Why to keep market state definitions simple
27:30 Time factor in market states
30:55 Analyzing an algo based on state
39:45 Combining algos to create a system
41:25 Why not switch off algos in poor states
43:20 Does each algo have its own state filter?
44:46 Live trading with market states defined
49:03 Adjusting inputs for market states
51:00 Combining strategies in Tradestation
53:45 Market states vs regime filters
56:53 How to discover more from Richard

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Trading in the financial markets involves a substantial risk of loss and is not suitable for everyone. All content produced by Better System Trader is for informational or educational purposes only and does not constitute trading or investment advice. Past performance is not necessarily indicative of future results.