12/21★ When building a portfolio, should you align with the lot size or the maximum drawdown?
FX Auto Trading, EA developer'sReiwa no double-i.
When building a portfolio for EA operation
to make the most effective portfolio
by combining results with Quant Analyzer or Iwa Raider,
and performing risk management calculations,
should you align each EA’s lot size to 0.1 lots and
verify good combinations by aggregating performance,
or
align the maximum drawdown for each EA and
perform the same calculations?
Alternatively,
change the lot sizes of each EA
and, when presenting the aggregated results,
set it so the recovery factor becomes higher,
and so on
there are many ways to build a portfolio.
I don’t think there is one correct answer, but
the basic idea is to have a variety of EA types available.
A simple example is the win rate shown on the listing page’s backtest.
The win rate is naturally determined by the type,
so combining EAs with various win rates will naturally result in a mix of different types of EAs.
Also,
if you standardize the maximum drawdown for each EA,
and operate with their respective lots,
you will need not only the maximum drawdown but also the required margin, so be careful with risk management.
As for me, in a portfolio I also consider the recovery factor,
for example, with the same USD/JPY 5-minute EA,
making it multi-logic,
and trying to “optimize the lot sizes.”
Even if not,
I analyze correlations with Quant Analyzer
to construct a portfolio,
and,
since each account has its own characteristics,
when spreads are tight, use scalping;
when wide, apply trend following,
and for various account-specific traits,
I try to use all of my self-made EAs as broadly as possible.
If you include only the same currency pair, timeframe, and logic
in your portfolio,
at the same time, all EAs could incur losses, so
avoid that and try many things!
Well then!
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https://www.gogojungle.co.jp/users/112481/products
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https://www.gogojungle.co.jp/finance/navi/articles/67162
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