Topic: Funds & Position sizing for portfolio of systems

Hi Guys,

I'm very interested in how you allocate funds to a portfolio of systems.   Currently what I am doing is allocating a percentage of available margin to each system - so if i'm running 30 systems, I give 1% allocation for inital positions.   

Where I am confused how to handle - is my systems will add positions on winners. So an additional 1% per add.

I'd love some new ideas - how do you manage your position sizing for a portfolio of systems?



Re: Funds & Position sizing for portfolio of systems

I set risk per system using percentage, I choose number using backested max drawdawn like an anchor. I normalize all portfolio systems to have max 10% drawdawn for chosen backtest period. And stop trading system then they reach 15% drawdawn (max dradawn * 1.5, because worst drawdawn still to come). You can use something similar smile However if you using adding, probably there is need for a lot smaller risk, because it can grow big very quickly. And if you have few correlated systems, then it can be devastating smile Hope it helps