Inactivity Pays

I run 20-30 strategies on XAQP and still spend about 92% of the time out of the market. That selectivity is the point.

I run 20-30 strategies at any given time on XAQP and I'm out of the market about 92% of the time. People hear that and assume something's broken; surely 20+ strategies should mean constant activity. The opposite is true, and the reason is the most useful thing I can teach about portfolio construction.

Each strategy only trades when its own conditions line up. Individually that's rare: a single strategy might be in a position a few percent of the time. Stack 20+ of them and you'd expect the book to be busy almost always. It isn't, because the strategies are selective by design and their active windows don't fully overlap. Most of the time, most of them have nothing to do. Good.

Time In The Market Is Not An Edge

Here's why that matters: time in the market is not the same as edge. Every minute you hold a position you're exposed to gap risk, overnight financing, slippage on the exit, and the slow tax of being wrong. Exposure that isn't earning its keep is pure cost. A book that only takes positions when the conditions genuinely favour it is paying that tax far less often than a book that's always doing something.

Exposure that isn't earning its keep is pure cost.

Selectivity beats Activity

The common instinct runs the other way. More trades feels like more work, more work feels like more edge, and a flat day feels like failure. So people widen filters, drop thresholds, add a discretionary trade "while I'm here." Every one of those moves buys more time in the market and almost always lowers the quality of the average position. You dilute the thing that made the strategy work just to feel productive.

The number I actually watch is contribution per unit of exposure: when the book is actually in the market, is it there for a reason that earned a slot?

If a strategy is adding exposure without adding return that survives its correlation and cost drag, then it's just a leak in the book.