Topic: Portfolio calculation
I have a very simple but critical question/problem. A portfolio isn't calculated, as if all the strategies were traded on one MT4 account. I'll explain it with a real example:
I have a portfolio of several strategies, that makes 1000 € into 4948 € in 2010 (1.1.2010 to 1.1.2011). So a factor of 4.95.
Now, changing the Data Horizon to the next year (so 1.1.2011 to 1.1.2012) the portfolio goes from 1000 € to 5352 €. That's a factor of 5.35. So far so good. Important: I use percentages everywhere. No fixed lot positions in any strategy.
So, theoretically, if I would have traded the portfolio over the two years on one MT4 account, where all strategies have the same account balance to go from, I would make 1000 x 4.95 x 5.35 €. That would amount to 26482 €.
But when I change the Data Horizon from 1.1.2010 to 1.1.2012 the balance of the portfolio is only 11938 €. That's the problem. And the profits of each year aren't added linearly either (which shouldn't happen anyway), since that would make 4948 + 5352 = 10300 € (and would require two seperate accounts of 1000 € each, which doesn't seem to be the case in the portfolio calculation, since it starts at 1000 €). So there is some correlation I'm not aware of. More importantly, it makes me question the maximal DD of the portfolio.