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.
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.