Hi, I want to share my thoughts about this topic, maybe others can give me new ideas or point at the errors of my reasoning. With luck the discussion will be of interest and benefit of others.
I'm not a professional trader, I have no experience in the markets, prices, symbols or indicators. I'm a software professional and run only EAs in my accounts.
For my real accounts I NEVER run a single strategy. I do have several (maybe) positive strategies in store and I always thought that using more than one of them in an account is better.
The idea is, to use a biological simile, that when you do have different strategies running at the same time the account is like an ecosystem where the resources are limited (the resources are the free margin and the acceptable drawdown). The different strategies use the resources to produce the output (profit) and you have interest not to put in the same system two strategies requiring margin (operating) just at the same time or that are getting drawdown when the market starts behaving in specific way.
Currently what I do is to maintain an excel sheet where my systems are listed and for each one I have columns with the typical and maximum used margin and drawdowns. For every system I then decide how trend (T) or counter-trend (CT) it is. For instance systems based in MA crosses and going for a high RR ratio are 100% trendy. And, opposite, systems that buy when price is well under an average expecting the price will go back to the average are 100% counter-trendy.
To decide how T/CT the system is I correlate the drawdowns in time of the system with pure T and CT systems.
Once I have all that in the excel it's quite simple to plan the MM for a combined account. Just for math lovers, I use the scalar product of the 2-dimensional system vector of coordinates C & CT.
I'm sure some of you have thought before about this. What do you think? Is it complete non-sense??
t.
I'm not a professional trader, I have no experience in the markets, prices, symbols or indicators. I'm a software professional and run only EAs in my accounts.
For my real accounts I NEVER run a single strategy. I do have several (maybe) positive strategies in store and I always thought that using more than one of them in an account is better.
The idea is, to use a biological simile, that when you do have different strategies running at the same time the account is like an ecosystem where the resources are limited (the resources are the free margin and the acceptable drawdown). The different strategies use the resources to produce the output (profit) and you have interest not to put in the same system two strategies requiring margin (operating) just at the same time or that are getting drawdown when the market starts behaving in specific way.
Currently what I do is to maintain an excel sheet where my systems are listed and for each one I have columns with the typical and maximum used margin and drawdowns. For every system I then decide how trend (T) or counter-trend (CT) it is. For instance systems based in MA crosses and going for a high RR ratio are 100% trendy. And, opposite, systems that buy when price is well under an average expecting the price will go back to the average are 100% counter-trendy.
To decide how T/CT the system is I correlate the drawdowns in time of the system with pure T and CT systems.
Once I have all that in the excel it's quite simple to plan the MM for a combined account. Just for math lovers, I use the scalar product of the 2-dimensional system vector of coordinates C & CT.
I'm sure some of you have thought before about this. What do you think? Is it complete non-sense??
t.