Portfolio management and capital allocation

Hi Guys,

 

I am into my 3rd month of SQ 🙂 and I love it! I also loved the advices and guidance from fellow members.

 

My family of SQ robot is growing up, and I am now the proud father of about 15 SQ robots :wub: ‘‹playing different timeframes and currencies.

However, with such a growing family, I was wondering if any of you could point me up in the right direction to increase portfolio management & capital allocation.

I am too conservative in my risk management (and under leveraged) due to the absence of the portfolio management tool.

 

I am looking for a solution (a nanny) that manages the whole family:

– cluster robots per attributes

– limit the maximum number of open trades (ideally depending on the attributes)

– rank robots per performance or ratios (issued from the SQ statistics) and use only the top X robots according to their own ratio

– position size depending on the amount of open trades

– any other feature that optimise capital allocation & lot sizing

 

Since I program all robots not to lose more than 0.X% of the account, I am struggling with the approach (and fear) of having too many orders at the same time and not enough orders as well.

 

All my robots are not geniuses, but they all at least present a positive expectancy, simplicity and robustness.

 

Any advice or MT4 EAs I should look into?

 

Thanks in advance!

 

Lucca

Interesting comments I stumbled upon while researching for the above mentioned concerns:

 

https://www.quora.com/How-do-you-combine-various-quantitative-strategies-with-different-turnovers-into-a-single-portfolio

 

http://alphasecurecapital.com/a-powerful-two-step-process-to-deal-with-the-endowment-effect-the-game-of-two-thirds-or-how-to-deal-with-free-loaders-in-your-portfolio/

 

http://alphasecurecapital.com/convex-position-sizing-algorithm-something-your-brain-can-trade-through-euphoria-and-depression/

Getting there… anybody know how to automate that (with adequate ranking- Return, DD, etc…-) and use selective criteria based on market conditions (ATR, Daily range, etc…) ?

 

http://www.onestepremoved.com/the-ivy-portfolio-allocation-system/

 

+maybe some half kelly position sizing then?