Topic: System portfolio management using Moving Average as fillter

Maybe somebody will be interested in this. Today made experiment with different Portfolio Management method, it uses MA(moving average) on your single systems profit loss balance. If your systems PL drops below that MA(20), you stop trading it until it trades profitably up again. Read somewhere that some traders usis this approach. Tried to see what I would get using this method on my systems portfolio (27 systems) witch runs demo since January.

Results is not very promising, probably better to stay away of it. Hoped to see better performance of this, but still will share with you and maybe some interesting discussion will develop.

Sometimes this method cuts losing systems very quickly, but there is trade off like always, it reduces profits too when systems are ranging or pullbacking to MA smile It wins some profit factor, less draw dawn, less trades, but losses some returns if winning. The end results are in the attached pics.

blue - real time mt4 trading PL
red - 20 optimized  trades from backtest + real time unseen trades
grey - 20 period MA of red PL line
yellow - PL with applied MA filter

As you can see if red line drops below grey line, system stops trading, and starts again if red line rises above grey line. Sometimes it wins sometimes it losses.

For 20 MA period I used back tested data, which was taken from optimized fsbpro journal, I added it to front of real trades. After 20 trades it started to use unseen real trades. Here can be little performance killer, because most of the time systems real time performance drops from optimized, and you get some MA lag and more losses than if used only unseen data's trades, but I think it should perform better anyway...

P.S -  used fsbpro journal PL data, not real mt4 statement, there is some  unfavorable big differences to clean it out later.

Re: System portfolio management using Moving Average as fillter

This is interesting, however it is difficult to start and stop trading..... what do you suggest would work.

I have used the same chart and it is not easy to differentiate from the chart which EA to start and stop.

The approach with the MT4 Tracker seems to be quite helpful as it locates the bad performers.

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

Re: System portfolio management using Moving Average as fillter

Hi, thanks for replay. One way to track could be using 2 accounts. One account would be always running with all your EAs, after seeing that your specific magic number / strategy got Up/Down through MA using some excel you go to second account and turn it on/off.

After putting some more thought I realized that this portfolio management method would perform good in losing portfolio, because it turn off losing systems quickly and will save you from some losses. But if portfolio have more winning systems and it is winning it will under perform, will save you from some winnings too big_smile

What is the point when you decide to turn off systems?

Re: System portfolio management using Moving Average as fillter

I am thinking that each strategy would have to be coded to halt trading at a certain time..... or 'if equity below MA 20 then no trade'

Would not be very efficient to try to manually adjust trading on and off for each strategy. We could do this for strategies created by FSBPro, would have to do it for a whole collection in EA Studio.

We would need multiple strategies, so that if the equity was to fall below, there would still be some trading to restore the equity.

I do not think this would be very hard to implement.

I should have thought of this a few days ago when you opened the thread.....  lol

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