create Portfolio with strategies lot size propotional to portfolio balance

Hello,

 

I’d like to know whether it’s possible to modify the individual strategies lot size when building a portfolio so that they are proportional to the portfolio balance evolution.

Indeed I have individual strategies for which lot size are propotional to the current account balane (or free margin). So when merging several such strategies, the impact of each individual strategy is not correct.

Let say I start with 10.000 EUR for start1 and for that balance, lot size is 0.1.

After 10% balance increase lot size is 0.11

Now I have a second strategy on same account. So start balance is identical 10.000 EUR. Same start lot size of 0.1.

But this strategy looses 10% during the same period. So lot size for individual strategy 2 will be 0.9

Now If I merge, start1 + strat2. I should be around 0 benefit so end balance 10.000 EUR, but start1 lots at 0.11 and strat2 lots at 0.9.

In reality both strats on same account at balance 10.000 EUR means 0.1 used for each.

 

If during portfolio creation, the lot size (+ commission, P/L, …) is (are) adjusted to the running account balance then the impact of mixing both stratégies together will be closer to reality.

 

Is there a way to do it by extension? Can you explain how to do it and get me started?

 

Could be an option to add in further versions of the product. Eventually Monte Carlo Analysis should also be adapted the same way to get statistics closer to portfolio/strategy reality. Indeed if the strategy analyzed with Monte Carlo uses lot sizes proportional to account balance, simply shuffling trades does not give a correct approximation of drown downs.

 

By the way I just bought the pro licence and I love the product. Another thing I’d like to see modify but is less important is to have the number of days for MonteCarlo prediction be a parameter that can be changed.

 

Best regards.