In this topic I will document my little Dukascopy portfolio, which is built using my own (proprietary) SQX workflow. The goal is to grow a relatively small €1000 account, by taking a little bit higher but still an acceptable risk (money wise, not %-wise). Since I am still building and testing new strategies everyday, some of the strategies in this portfolio may be replaced over time in order to:
- reduce the maximum historical DD and so, to maximize Ret/DD figure.
- decrease strategy to strategy correlation, currently <0.5
- optimize total yearly profit
- reduce number of stagnation days
The portfolio shows below, is based on 8 ''non-correlated" strategies on EURUSD and XAUUSD pairs. Each of portfolio strategies passed extensive robustness testing including the WFM test as an additional confirmation. All strategies are short-term trend following/momentum systems. OOS periods as used during strategy testing:
2003-2005; 2005-2011 (including financial crisis in year 2007); 2018-2019
Portfolio capitalization is quite risky here and it is calculated/estimated using the following assumptions:
- There will be no significant balance (equity drop) in the begin phase of trading. Hereby I will monitor the performance of the portfolio and possibly add money in case of a significant DD during first weeks of trading. The goal is to keep the equity above €1000 and so keep 'Margin Level' above 100%.
- LotSize sum of all opened orders (at the same time) +taking into account the strategy correlation number, w.c. estimation = 0.3LotSize sum (sum of all time-overlapping orders)
- Used Margin, with leverage of 1:100 and 0.3LotSize = €300.
- Maximum equity DrawDown, + taking into account the historical DD, but also sum of the worst case MAE figures, w.c. equity drop = €600, thus w.c. equity = €400
- Worst case Margin Level = 100x Equity / Used Margin => 100x €400/€300 = 133%
- Margin Level of 133% is just above margin call level of 100% (stop out level lies at 50%).
- Conclusion: without adding additional money to my €1000 account the portfolio should survive an equity drop of -€600 with a maximum sum of 0.3Lot (all simultaneously opened orders).
This topic was modified 1 month ago 16 times by coensio