Appropriate MM needed for single strat portfolio purposes

AN appropriate MM needed for single strategy portfolio of various instruments purposes

--Fixed lots doesn't cut it because 1 lot of one instrument is different value than 1 lot of another, plus some instruments are more volatile than others.
--% account balance or % of equity almost works sometimes. When we have no stop loss set, this won't work very well. A band-aid for non SL scenario was put in place where we can specify pips for the times there aren't a SL available to calculate risk, but then pips are different from one instrument to the next making it inappropriate for single strategy portfolios so it would be better if we could specify this variable in ATR instead of pips. However, even when we do have stop losses in place, we have some other issues: Curve fitting (optimizer/builder will tend to gravitate towards hitting a few winning tight stop-loss trades.)  Also, curve fitting to early wins or late wins (depending on the optimizing metric) due to compounding. Wacky walk forwards can also occur when optimizer alters SL size from one OOS test to the next making it very hard to make comparisons.
--The equity MM for stocks is quite close to what we want for comparing forex currencies. But still, when I put gold in with currencies, the gold risk/reward will be generally higher due to its generally higher volatility in relation to it's value. 

I propose a new MM:
risk = Fixed dollar amount / Long term ATR or Volatility reading

For live accounts where we want compounding:
risk = % of account or equity / Long Term ATR or Volatility reading

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  • Votes +2
  • Project StrategyQuant X
  • Type Feature
  • Status Archived
  • Priority Normal
  • Assignee None

History

b
#1

bentra

23.07.2019 12:32

Task created

b
#2

bentra

23.07.2019 12:35
Voted for this task.
KL
#3

kainc301

03.08.2019 17:35
Voted for this task.
MF
#4

Mark Fric

26.11.2020 10:56

Status changed from New to Archived


Votes: +2

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