Position sizing systems with overall Portfolio

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  • 04/12/2021 at 4:25 PM #166876 quote
    897148
    Participant
    Average

    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.

    04/12/2021 at 6:17 PM #166881 quote
    robertogozzi
    Moderator
    Master

    Strategies are independent and are not aware of one another, so it’s not possible for each one of them to know what’s the stratey profit of the other strategies.

    04/12/2021 at 7:15 PM #166884 quote
    897148
    Participant
    Average

    That being the case I suggest one of you clever people come up with an elegant solution.

    The big hedge funds run multiple systems on multiple strategies that all talk to one another!

    04/12/2021 at 7:35 PM #166885 quote
    robertogozzi
    Moderator
    Master

    You can suggest this to ProRealtine using these links:

    https://www.prorealcode.com/topic/centralization-of-queries-and-suggestions-on-prorealtime/

    https://www.prorealtime.com/it/contatto

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Position sizing systems with overall Portfolio


ProBuilder: Indicators & Custom Tools

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

Topic Details
Forum: ProBuilder: Indicators & Custom Tools
Language: English
Started: 04/12/2021
Status: Active
Attachments: No files
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