Money Machine is a public notebook for building a trading algorithm. I've traded by hand, and I'm now building a set of systematic strategies, writing down the process as I go.
The approach
- Keep a bench of strategies and put money only on the top performers each month.
- Diversify by market, by style (trend-following and mean-reversion), and by holding time.
- Test each idea on its own with statistics before combining two or three at most.
Ground rules for this journal
I post what fails as well as what works. Results marked hypothetical come from testing on historical data, not live trading. I share the idea behind each strategy and its results, not the exact settings. Nothing here is advice. It's one person's experiment.
Influences
My approach owes a lot to Kevin Davey andPerry Kaufman. Their books are worth reading.