Looking for input on filtering trading instruments

I follow 62 commodities/futures. My trades last on average 2.23 days, which generally works out to be between 2 and 5 days, with the majority being overnight. My trading is volatility based.

I have two methods that I have been using for filtering the 62 commodities/futures down to 8-10 that I trade for the upcoming month. Each month I re-evaluate the mix. Because I keep the markets uncorrelated to the degree that is actually possible, I usually am in no more than 4 at time. It has varied up to 6 simultaneously.

I'm not unsatisfied with the two "filters" by which I whittle down the potential instruments. But, I'm not completely satisfied either.

Since this site has some clever folks on it, I wonder if anyone has any ideas. I don't want to say the two methods I have been interchangeably using, because I don't want to guide anyone's thoughts in a certain direction. There may be an entirely different approach that I either have not known about or an approach that I previously dismissed, when I shouldn't have.

Since I have been in the process of converting my homegrown system to AmiBroker, I thought I'd ask, while I'm completing my conversion.

I would appreciate any input or ideas. Thanks in advance for all who participate.

Thanks.

Matt

1 Like

To be clear, I'm not asking for coding help. Just filtering ideas. I'll code it.

Thanks. I just wanted to make that clear.