Hi  @Jebus89

I have attached an analysis of the back tested portfolio results for 2019 and the raw data taken from the prorealtime results (the portfolio has changed slightly since I posted the image)

My formulation for portfolio size is Margin (unless trading once a week or less) plus 50% of the max drawdown to date (based on a system with no money management)

I have found that the Dax 30 and EUR/USD systems tend to hedge each other well and having a couple of ATR or volume based systems can hedge out those system operating on longer time frames in the occurrence of a news based event so for example on Friday with non-farm payrolls my Wall Street system was triggered short by the early action and then went on to have a loss, however the EUR/USD systems based on ATR hedged it quite nicely

You can see in the attached example that the portfolio doesn’t really ever go below £0 P&L

The maximum net drawdown is £150 ish on a balance of £5k to start and £8,750 at the time of the drawdown

I have attached a graphic of the performance of the portfolio in November with and without Alpha 10 as this system is trigger often

I see a fairly healthy mix with internal hedging in the portfolio, I was in the past running several 5 Minute EUR/USD systems with the bulk of my capital and then the correlations really hurt the portfolio with the market moving from mean reverting to trending

One thing that I did find that I don’t know if you have is that if you code to buy/sell a position then the minimum unit size is 1, however if you code the positions size then you are then limited by the broker so for example the Dax and EUR/USD can be traded for 0.5 per point on IG.com, Wall Street for 0.2 per point which makes it much more accessible than the 1 per point that hard coding the buy signal would require

I found the code below via a link on the forums to a snippet library https://docs.google.com/spreadsheets/d/1rgboqj7sVwsP9ZRhOduOefye48QMWC07jWVXCl-KJPU/edit#gid=0

This code starts with a position of 0.6 per point and will increase the positonsize by 0.1 for every 113 earnt (this is 0.1 x (margin per point + 50% Max DD per point))

Or you could just code positionsize = 0.5 then open positionsize in the system

once multiplier=1
once fraction=113
once newlevel=113
once oldlevel=113
once startpositionsize=0.6
once positionsize=startpositionsize
if strategyprofit>newlevel then
multiplier=multiplier+0.1
oldlevel=newlevel
newlevel=strategyprofit+multiplier*fraction
positionsize=multiplier*startpositionsize
elsif strategyprofit<oldlevel and multiplier>=1 then
newlevel=strategyprofit
oldlevel=strategyprofit-multiplier*fraction
multiplier=multiplier-0.1
positionsize=multiplier*startpositionsize
endif

One thing that helped me massively was seeing that you could get the test results from the back test report and click and hold to drag them into Excel, prior to this I was keying them out manually

How are you looking at your correlations and building your portfolio?

Back-Tested-Portoflio.png Backtest-of-portfolio.xlsx November-Correlation.png

Far from it, going strong and a number of higher time frame (4h Hour) break out strategies are going live this week

I am still doing the proper write up for this week (it did not trade from New years Eve to 2nd Jan) but I have added a couple of screenshots below to wet your appetite in the mean time

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Hi @Paul

I couldn’t really say how many strategies for Edgewonk, personally I kind of fell into using it because I had it anyway. I use it in a very different way to the discretionary traders that would normally use it as the factors that I monitored when trading in that style, were the kids at home, what mood was I in, analysing my management of the trade and impulsiveness to get in or out don’t really come into it.

At the moment I find that it is very good for measuring a couple of metrics (I use it for demo trading as well as live):

PRT loses the results if the system is discontinued – Edgewonk can capture these details without me needing to leave systems on stop but not removed from the PRT autotrading queue, so for example at the moment I am going through most of my strategies and splitting them into long and short versions using a trading journal allows me to keep the presplit data

If I override the system and close a position PRT doesn’t track it, in Edgewonk I can record the trade and review the gain or loss caused by my actions

I love an equity curve and the underwater  and simulator features

It allows me to review the performance of systems by time frame, product, underlying indicators

Essentially its a solution for recording a lot of live and demo trading and analysing it out, if I wasn’t using it I would need to design something that does the same job. You can for example extract the PRT back testing data and format it for import and see how all the systems would have behaved as a portfolio without resorting to Excel.

I run 4 instances, Live, Test, Pension and Portfolio Building

I have attached the current list but as I said some changes have been made as I split the systems

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