- ago
I have a strategy that I have tested and like for 8 assets. 7 out of 8 of them beat my benchmark by a nice amount. The 8th one is relatively even.

Settings for each individual testing is Position size, % of equity is 90%

The settings for the Portfolio is Position size, % of equity is 12% ($10,000 / 8 = 12.5, so I round to 12% to trade.

Anyway, why is my equity curve less with the Portfolio?

Thank you,
Larry

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- ago
#1
Larry, these are two different contexts to make a productive comparison. The position size is different, the allocation is (90% vs. 96%), there may be NSF positions (https://www.youtube.com/watch?v=HXA-AetQ3Jk) etc.
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#2
What Eugene said, and the video, and consider this from the WL help...

QUOTE:
Percent of Equity
Lets you scale position sizes based on changes to the overall portfolio equity level. Specify the percentage of the total account equity that each position should take. Account equity is based on cash available plus the value of open positions on the Alert bar - the bar prior to the trade. Once this value is determined, position sizing proceeds along the same lines as the Fixed Dollar/Margin options above.

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- ago
#3
Based on my above parms, could you suggest how I could change the strategy settings for the Portfolio to better match my individual results?

It does not make sense to me, that the equity curves are better on the individual strategies than the portfolio.

Also, I always thought Portfolios help with draw downs, etc. So in this case, is it saying the Portfolio approach is not adding value?

Thank you,
Larry
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- ago
#4
Larry,

For lack of a better way of putting it, you're comparing apples and oranges. Consider that with a portfolio the equity is flexing because over time the open positions are changing. Its simply not the same thing as trading an individual stock. Think about what is stated in the WL help (quoted above).
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