Portfolio risk

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05/02/2017 at 9:17 PM #34337 quote

victormork
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Does anyone know a smart way to calculate a portfolio risk/drawdown?

Let’s say I have strategy a,b and c with individual max drawdown of 100, 200 and 300. What would the real life drawdown have been if they were running simultaneously? I guess I could summarize them and pretend that they all happened at the same time which is equal 600, but that’s not what happened in reality.

05/02/2017 at 9:29 PM #34339 quote

AutoStrategist
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To me this is the biggest deficiency with PRT, the inability to control risk because strategies are not aware of the total open positions, particularly if you run multiple strategies against the same market as I do.

If it is the potential total at risk that you are looking for the only suggestion I have would be to export the results of each system into Excel and see on which dates/times open positions overlap.

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05/03/2017 at 9:48 PM #34482 quote

Maz
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Guys please take a look at this post and add your wishes – anything to do with analytics.
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Portfolio risk

ProOrder: Automated Strategies & Backtesting

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victormork @victormork Participant

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This topic contains 2 replies,
has 3 voices, and was last updated by Maz
8 years, 10 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	05/02/2017
Status:	Active
Attachments:	No files

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