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Creating a built in system of multiple EA Strategies
Apr 14, 2013 at 13:56
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1 Replies
Apr 14, 2013 at 13:56
Hello everyone,
As I am currently working on automated trading strategies i'm working on regrouping about 2-3 strategies in one single EA.
To be precise : I have 3 strategies with each a 1% money management.
I want to build one big system that regroups each of these 3 strategies BUT will only trade with a 1% money management (althougth it has 3 strategies trading).
So, the way i see it would be : cutting a 33.33% of that 1% to each EA right ? Is that possible to do and is that a good idea?
However, I have also thought that the most profitable strategy should have a bigger money management allocation.
Let's say on these 3 strategies, 1 EA generates 40% of the total profits, another generates 30 and the other 30%.
In that case, maybe the 1st EA should have a 33.33% + 6.77% for a total 40% allocation of the 1% money management of the overall system. In that way, overall profits would be optimized.
The goal is to have a stable EA trading multiple strategies on multiple currencies BUT optimizing the money management in order that the most profitable strategies are able to generate more returns for the global system than the less profitable strategy of the portfolio.
If you think you can help me or share some experience, please do.
Thanks.
As I am currently working on automated trading strategies i'm working on regrouping about 2-3 strategies in one single EA.
To be precise : I have 3 strategies with each a 1% money management.
I want to build one big system that regroups each of these 3 strategies BUT will only trade with a 1% money management (althougth it has 3 strategies trading).
So, the way i see it would be : cutting a 33.33% of that 1% to each EA right ? Is that possible to do and is that a good idea?
However, I have also thought that the most profitable strategy should have a bigger money management allocation.
Let's say on these 3 strategies, 1 EA generates 40% of the total profits, another generates 30 and the other 30%.
In that case, maybe the 1st EA should have a 33.33% + 6.77% for a total 40% allocation of the 1% money management of the overall system. In that way, overall profits would be optimized.
The goal is to have a stable EA trading multiple strategies on multiple currencies BUT optimizing the money management in order that the most profitable strategies are able to generate more returns for the global system than the less profitable strategy of the portfolio.
If you think you can help me or share some experience, please do.
Thanks.
会员从May 11, 2012开始
16帖子
Apr 15, 2013 at 11:20
See also http://www.strategyquant.com/eaanalyzer/ (With EA Analyzer it is simple to combine multiple strategy reports to a portfolio, and get a new "combined" report for the performance of whole portfolio of your EAs).
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