I have read RV some time ago but need to revisit for sure. I do find the discussion of optimalF extremely stimulating but one of my main rules in trading is "know thyself" and I know I am far too conservative to trade anywhere near it. I am acutely aware of where my drawdown pain threshold is and I position size a particular system to where the maximum historic system drawdown lies just within my pain threshold (15%).
My experience however is that when trading multiple systems, my total account drawdowns are usually much less than a particular system drawdown when trading multiple systems from the same equity pool so my objective in starting this discussion was to try and discover a technique that would allow me to trade each individual system more aggressively to take advantage of this observation. I may have 1 system that risk 1% of equity per trade and another that risk 1.5% per trade. Perhaps by testing (and trading) them together, I discover I can trade each at 1.5% and 2% respectively and still keep my expected account drawdowns well within my pain threshold. --- In [email protected], "brian_z111" <brian_z...@...> wrote: > > Have you guys read Vince .... the first book, chapter 6, "The Total Portfolio > Approach"? > > He gives a very good account of how to construct an optimal portfolio using > system diversification ... it would be quite easy to implement in AB..... his > mathematical modelling is quite straightforward..... basically he nets the > (special case) period returns (as growth factor) of each system .... net > (portfolio) geometric mean == reward and variance of the net (portfolio) > geometric mean == risk. > > He also discusses Markowitz and the Capital Asset Pricing model and briefly > shows why the 'geometric mean portfolio strategy' is a valid extension of > those models. > > I'm not a Vince, or a portfolio, guru and I don't have the time for an in > depth project at this stage ..... just some quick comments ... scanning your > posts it seems that an understanding of the theory, or some portfolio theory, > needs to precede the implementation ... IMO: > > - each system should be optimized independently first > - systems should be standardised to a common time frame e.g. daily returns > - correlation of the period returns of the already optimised systems should > be measured (how are you all doing that in AB?) > - the only optimisation that is done at the portfolio level is allocation of > capital (this is done on an iterative basis in Vinces model). > - I find that Money Management combined with equity curve analysis (of any > kind) is logically flawed because Money Management varies the outcomes e.g. > > one trade series .... +10%,-10%; > > start $100 -> 110,99;// a 1% loss of capital > start $100 -> 110, add 890 capital -> 900;//approx 10% loss of capital > - an account can never be fully invested unless we find the HolyGrail of > systems? > > Optimal f was developed specifically to minimise the drag on equity recovery > caused by asymmetrical leverage i.e. it calculates the optimum staking to > return equity to a postive state after the max loss has been encountered. > > - if you want to reopt then you will need to recalc 'all of the above again'. > > > Out of curiosity ... are you finding it easy to come up with noncorrelated > systems? > > > > > > --- In [email protected], "bh.hicks" <bh.hicks@> wrote: > > > > I am basically looking for a way to have AmiBroker run multiple systems > > concurrently in order to examine how trading multiple non-correlated > > strategies affect drawdowns. I think if there was a way to "name" an entry > > condition so that stops and position sizing rules could be applied to a > > particular entry criteria, it would be possible to do without too many > > changes to AB architecture. > > > > I can already do this in excel using exported equity curves but it would be > > nice to be able to do this internally so that the optimizer engine could be > > exploited. > > > > Is anyone aware of a technique to do this and if not, is this something > > others would find useful if integrated into a future version? > > > > As always - thank you. > > >
