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# Portfolio calculation

Forex Forum → Portfolio calculation

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## Posts: 10

#### 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.

Hannes

#### Re: Portfolio calculation

I do not know of any software that will calculate the portfolio as it advances.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

#### Re: Portfolio calculation

Blaiserboy wrote:

I do not know of any software that will calculate the portfolio as it advances.

Isn't that exactly what the "Portfolio" function of our beloved FSB is supposed to do?

#### Re: Portfolio calculation

The Portfolio function is very basic at this point, I am sure that on his to-do list Popov plans a modification at some time.

There is always going to be more features to add to FSBPro and Popov is working to add things here and there.

As far as the Portfolio goes, I do not think it really essential at this point as we have the facility to do forward testing and walk forward analysis  which should be adequate for most users.

I have looked at softwares that cost far more than FSBPro and those do not have a good Portfolio feature.

I do know that Popov is aware of Portfolio shortcomings and I believe he will remedy that at some time.

You may be able to use Excel to achieve your goal, I am not sure.

You do have the option now of loading your strategies for the longer period, one at a time and calculating whatever.

Myself, I have quite a few strategies on MT4 demo and periodically pick a couple to go to my real account, that seems to work fine.

Oner thing that is certain, until a stratgey is trading on a real account, you will never know if it is any good, all the forecasting and backtesting and analysis will not guarantee the future...., maybe a complex porfolio calculation is not really worth the effort.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

#### Re: Portfolio calculation

Blaiserboy wrote:

As far as the Portfolio goes, I do not think it really essential at this point

Well, I disagree. Diversification through several strategies is a crucial practice for safe trading and a proper Portfolio functionality would help tremendously with that. Of course, one could probably do it manually in Excel or otherwise, but that's one heck of a time commitment.

I'm still curious what Popov would answer to my original post.

#### Re: Portfolio calculation

Are you trading real account at this time?

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

#### Re: Portfolio calculation

Blaiserboy wrote:

Are you trading real account at this time?

Yes.

#### Re: Portfolio calculation

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 €.

I think  1000 x 4.95 x 5.35 € is not correct. Please think more about it

#### Re: Portfolio calculation

If you use sever strategy they will commit their profit/loss to the common account. If you use "Account percent entry" for the entry amount, it means that the entry amount a strategy is determined by the account amount.
Lets take the following case:
We have starting balance of 1000 euro and two strategy. The entry amount is % of the account equal to 0.1 lot at the beginning.
Let's the first strategy makes a huge profit and double the account to 2000 euro.
Let's the second strategy trade evenly.
It appears at the end of the period that the second strategy will trade 0.2 lots (because the account is doubled) despite the fact that it didn't make any profit.

We see that the "Account percent entry" may not work as we expect when we trade multiple strategies. I'm not aware of a tool that can simulate such backtets.

#### Re: Portfolio calculation

GD wrote:

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 €.

I think  1000 x 4.95 x 5.35 € is not correct. Please think more about it

Popov wrote:

If you use sever strategy they will commit their profit/loss to the common account. If you use "Account percent entry" for the entry amount, it means that the entry amount a strategy is determined by the account amount.
Lets take the following case:
We have starting balance of 1000 euro and two strategy. The entry amount is % of the account equal to 0.1 lot at the beginning.
Let's the first strategy makes a huge profit and double the account to 2000 euro.
Let's the second strategy trade evenly.
It appears at the end of the period that the second strategy will trade 0.2 lots (because the account is doubled) despite the fact that it didn't make any profit.

We see that the "Account percent entry" may not work as we expect when we trade multiple strategies. I'm not aware of a tool that can simulate such backtets.

I get what you're saying. And that's how I would expect the Portfolio function to work. But it appears to not work that way at all. As I said, I use "Account percent entry" for all my strategies, that's why I would expect, if a portfolio doubles from 2010 to 2011 and doubles again from 2011 to 2012, that it quadruples if I test it from 2010 to 2012. But that just isn't happening in the Portfolio function (see my original post). Maybe I'm missing something here, not feeling too sharp today.

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