Portfolio – Trade volumes proportional to account balance

Hi all

There is something with Money Management that is not right. If I have several strategies running on a single account and my position sizing for every strategy is a fixed % of the account balance, taking into consideration the initial risk (Stop Loss) for every trade, I expect to see the impact of all of these trades made by different strategies in the same account. I haven’t been able to reproduce this scenario with the current Money Management options that are displayed in QA. QA is not able to “sync” the trades between different strategies so it can properly calculate the current account balance (and therefore the correct volume considering a fixed % of the account balance and the initial stop loss for every trade). The results of the different Money Management Scenarios currently available in QA are right if there are not overlapping trades. Is it possible to overcome this limitation somehow?

Thank you and have a good day

Hello,

I am not sure I understand correctly but if you look at the simulation attached (portfolio having multiple position open at the same time) you see it altered position size for each trade to match pre-defined risk fixed %. It think it cannot be done any other way though but would have to verify with developers

The strategies that I trade use different values of Stop Loss depending of market conditions. I adjust the position sizing for every trade depending of the stop loss (which can be different for every trade) in order to always risk a fixed % of the account balance. With QA I’m not able to simulate this scenario. It asks for a Stop Loss value in pips to calculate position sizing but in my case the stop loss is different for every trade. Is it possible for QA to detect the initial Stop Loss value for every trade so it can adjust position size to match the fixed % of the account balance?

did you find a solution to this problem?

Hi,

there have been some modifications done to this in the current version 4.8. Please update to this version at test https://strategyquant.com/quantanalyzer/download