I have two systems which are 100% in the market at all times either long or short.
System 1 is EUR/USD and has position sizing algo which increases/decreases as equity changes
System 2 is USD/JPY and works exactly like system 1
Overall portfolio is thus the sum of the two systems but this is insufficient.
I wish to:
- Increase position size of each system as overall equity increases
- This can be significant as example below:
System 1 has starting equity of $10000 and position size of ,say, 8 contracts when this increases to $12500 then 10 contracts
System 2 also has starting equity of $10000 and position size of,say 8 contracts and similarly increases to 12 contracts when equity $12500
If starting with a real figure of $10000 and both systems increase to 10 contracts total equity is actually $15000 ($10000 originally + $2500 +$2500 for each system)
I should now be trading , say 12 contracts on each system not 10 as overall, portfolio, equity has increased and I wish to take advantage of this for no increase in risk.
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