Strategy optimisation goals

I've decided to breakdown strategy types into 4 main categories aiming to optimise or different types of investment goals.

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Strategy Descriptions

Return with high risk: Aggressive position sizing/structure. Likely to have large equity swings and can have substantial losses under some circumstances. The possibility of large losses is offset by the possibilities of making significant profits in times the market conditions are good for the strategies being used. A few compounded good wins can easily exceed 100% profit. When substantial profits are made in these types of strategies it's a good idea to cash out seed money and any time there's an amount of money in there you'd be upset to lose, cash out.

This is not quite a YOLO in the sense of one all in bet, it's a series of structured bets. But the overall account balance should be considered to be at risk in these types of strategies. The strategies usually are betting against there being very long strings of anomalies. While the market moves are fairly "Normal" this can rack up good profits, but when big and unusual moves happen (And they do, periodically). Losses in these types of moves can range anywhere from 25% to 100% depending upon how aggressive position sizing is used. Once there's been a string of anomies, it's unlikely there will be another right after it. Parabolically, it's times after these strategies take pretty hard hits the risk with them may be reduced. And times when there's profits piling up are times where it's more worth being cautious with.

Low equity draw down: Very conservative strategy optimised for minimum losses (In equity).  This strategy aims to beat common investment goal benchmarks (Such as inflation and indices) but do it with very little market exposure. Equity drawdown/risk is managed in two ways. One is in small position sizing when having trade running in the market. Another is by not being in the market (Apart from perhaps tiny positions floating) most days. Times in which to trade will be carefully selected for optimised trading conditions and high probability and trade will usually be over within 12 hours (Often much less).

This strategy is designed to be a boring type of strategy. To target a conservative gain but much more focused on limiting any possible downside risk at any given time (Accounting for fat tail risks). It will not trade on most days. There'll be weeks in which it does not trade. Full months in which it does not trade are less common, but they can happen. There needs to be qualifying triggers to signal trading opportunities.

High win rate: Optimised towards maximizing the probability of winning on each trade. This is not to say it will be 100% win rate, it's just saying it's an attempt at such. Realistically, 65% - 85% win rate would be more likely based upon previous results. There are various ways to optimise for high win rate and most of them come at the costs of increased equity risk (Losing trades running against you but technically not lost since they not closed) or methods of locking in/cutting short profitable trades to realise the main objective of the strategy (Secure winning trades).

One way in which high win rate is easily optimised is risking much more in an average trade than you can gain. For example if you put a stop loss of $10 and a target of $1, that is much more likely to hit. The problem is it's hard to do that 10 out of 10 times, and if you do it 9 out of 10 times you make $9 and lose $10. While in the tens these can sometimes be viable but realistically to win 9,100+ out of every 10,000 would be an optimistic goal to set as a long-term strategy. These strategies will at times used an inverted risk:reward, but will avoid these trap strategies that seem to do well but always have the odds against them in a larger sample.

Risk efficiency:  These strategies aim to optimise for percentage gained relative to maximum loss (In equity). Strategies aim to maintain a high Sharpe ratio and the most important metric of the strategies are how much the maximum equity drawdown is relative to the average monthly gain. A high average monthly gain relative to the maximum equity losses mean that the strategy would recover quickly from its worst losing streaks if it was able to maintain that strong overall loss/gain ratio.

These will be the more active of the strategies. Lots of adjustments may be made to them. Often these will be made through the trading days and various tactics of day trading will be built into them.  Other types of longer term trades can be set up with pending orders but these can have complex structure (Take a while to place them all). While all attempts will be made to prevent there being any single point of failures, these types of strategies will be the ones most demanding of active management since missing certain things would affect future trade plans.  

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