Improved Portfolio Master functionality in StrategyQuant v140

In StrategyQuantX version 140, we’ve made important updates to the Portfolio Master to improve how capital, trade sizes, and risk are calculated. These changes ensure that merging strategies provides a more realistic view of performance, while also enhancing the accuracy of trade size calculations based on portfolio balance. With these improvements, traders can create portfolios more accurately, improving risks keeping within set limits.

Let’s describe improved functionality in more detail:

Initial Capital Calculation when Merging Strategies

Until now, when merging strategies, the Portfolio Master would sum up the initial capital of each individual strategy. This could be misleading because, if your account balance is $100k and you merge 10 strategies, the drawdown might appear to be 20% on the charts. However, in reality, your drawdown could be 10 times greater. A trader cannot multiply the size of their account based on the number of merged strategies.

This is why the Portfolio Master’s equity is the same as the strategy equity set in the money management parameters.

Overlapping Trades are Filtered

Filtering overlapping trades provides more accurate portfolio results and ensures that the overall risk stays within tolerance levels. Opening multiple trades simultaneously can increase the portfolio’s risk percentage beyond the set limits in the money management, leading to an unrealistically high net profit.

Trade Size Recalculated Based on Portfolio Balance

Each trade size is calculated according to its own parameters within each strategy and is now based on the Portfolio’s capital. For example, if the money management risk is set at 5% of the balance:

  • A strategy with a 20-pip stop loss might trade a contract size of 4.
  • Another strategy with a 40-pip stop loss might trade a contract size of 2, using the same capital.

This differentiation is normal, as each contract size is determined by its own stop-loss parameters. With this trade size recalculation, the Portfolio’s statistical results become more accurate.

We would like to thank our community for their support and feedback.

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pequeno
pequeno
30. 10. 2024 10:36 am

I want to ask if QuantQnalyzer4 also adds the initial capital of each individual strategy when merging strategies? If so, will this error be fixed and when?

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