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Max Concurrent Strategies / Max Concurrent Risk

Now that portfolios can be calculated where all the strategies are trading one initial balance, it would be a simple but crucial feature to have a statistic within portfolios on how many strategies were in trades at the same time. For example, if there are 15 strategies in a portfolio but at any given time, the maximum amount of strategies that were trading at the same time may be 6. This is very useful information if you need to keep track of how much the max risk is taken on the portfolio at any given point. This assumes that the risk management settings per strategy is not easily retained. If it can be retained, there is a more efficient solution:



The point of this feature is to be able to track how much risk across the portfolio is active at the same time (not drawdown). If the portfolio can retain access to the risk settings of each strategy, it would be more useful to use the Max Concurrent Risk instead of Max Concurrent Strategies. So if between 14 strategies in a portfolio, if only 5 of them traded concurrently and they each traded with 1.0 Lots/contracts, the Max Concurrent Risk would be 5 Lots/Contracts. This would need to of course account for different risk settings in each strategy. 

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  • Votes +3
  • Project StrategyQuant X
  • Type Feature
  • Status Archived
  • Priority Normal
  • Assignee None

History

KL
#1

kainc301

24.08.2019 17:33

Task created

h
#2

hankeys

09.06.2020 07:22
what this value tells me - not so many - i can compute from it only max margin...but if i am trading normally and risking not the whole account, margin is not a big problem for us - even with ESMA regulation


6 opened trades will not be your max open drawdown...you can catch max open drawdown with 2 opened trades, it not depends on how many trades are opened simultaneously


and i think, that max open drawdown is already implemented...i am not using it, because future of your trading will be different of the past you just put together as a portfolio

KL
#3

kainc301

09.06.2020 07:35
I am not using it to measure max open drawdown. For futures trading, I need to be able to see how many contracts I have active at the same time between multiple assets. Since risk varies per strategy, it would be more efficient to know how many of the strategies are simultaneously in a trade. This number will fluctuate so knowing the max amount of strategies in the portfolio that have been in a trade at the same time will help me with this metric. And yeah the future of trading is always different from what is in the portfolio but that's with every historical statistic that is derived.


I can't imagine this is too difficult from a coding perspective if you have the open and close times of the orders, it, just a measure of seeing which strategies had orders that were opened in the same time frame throughout the portfolio. 

JK
#4

Insanity82007

15.06.2020 12:13
Voted for this task.
JK
#5

Insanity82007

15.06.2020 12:17
I'm fully down for this type of feature.


It would be good to see an all time maximum position $ value e.g. on day x you had 15 lots open and those 15 lots across multiple pairs was worth $1,500,000 and with a 500:1 account you would require $3,000 of margin to hold this open. Calculating this can be based on instrument settings.


Right now I'm calculating all of this in Excel.


It would also be extremely useful to see this added to Quant Analyzer.

KL
#6

kainc301

15.06.2020 15:55
Voted for this task.
KL
#7

kainc301

15.06.2020 15:59
Maximum position value or max lot/contract size would be a godsend. I just didn't know if the risk per strategy information was preserved when merging strategies so I thought it would have to be an inferred value from the max number of concurrently active strategies. However if we could get the exact maximum position value open at a given time, that is exactly what I am looking to do with this.
KL
#8

kainc301

18.06.2020 00:29

Subject changed from Maximum Concurrent Strategies to Max Concurrent Strategies / Max Concurrent Risk

Description changed:

Now that portfolios can be calculated where all the strategies are trading one initial balance, it would be a simple but crucial feature to have a statistic within portfolios on how many strategies were in trades at the same time. For example, if there are 15 strategies in a portfolio but at any given time, the maximum amount of strategies that were trading at the same time may be 6. This is very useful information if you need to keep track of how much the max risk is taken on the portfolio at any given point. This assumes that the risk management settings per strategy is not easily retained. If it can be retained, there is a more efficient solution:


The point of this feature is to be able to track how much risk across the portfolio is active at the same time (not drawdown). If the portfolio can retain access to the risk settings of each strategy, it would be more useful to use the Max Concurrent Risk instead of Max Concurrent Strategies. So if between 14 strategies in a portfolio, if only 5 of them traded concurrently and they each traded with 1.0 Lots/contracts, the Max Concurrent Risk would be 5 Lots/Contracts. This would need to of course account for different risk settings in each strategy. 

MF
#9

Mark Fric

20.10.2020 14:50

Status changed from New to Archived

we have different priorities now
b
#10

gin

12.11.2020 04:57
Voted for this task.
Votes: +3

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