Building a strategy portfolio the RIGHT way

[Anonymous]

Hello traders,

Firstly to apologise to anyone reading this post thinking I have the answer about building strategy portfolios the right way, I don’t – I am asking the question!

Until now, I have been generating around 8 to 12 strategies at a time using the Reactor, for several different forex pairs. In an effort to diversify risk, I have moved on to the next pair each time I add the new 8 to 12 strategies to the demo MT5 platform.

What I am noticing is that there seems to be some correlation in the 99 strategies on each MT5, there will be many wins, then many losses over a period of two or three weeks, even though I purposefully changed the AC, SL and TP parameters, and available indicators each time I made a new basket of strategies, and had set the collection to remove correlated strategies.

I wonder if this could be because I haven’t made an entire collection of 99 strategies for one forex pair in one go, with all the same Reactor settings?

Maybe that is the only way to ensure that the software can effectively filter out correlated strategies, by allowing it to look at all 99 strategies at once, rather than showing it 8 to 10 at a time, and then grouping each small basket of strategies for a pair together on MT5? In theory, each small basket of strategies could be very closely correlated?

This would mean that large scale risk diversification could take quite some time!

What are your thoughts?

[Anonymous]

Good morning Simon,

Happy New Year, did you try uploading the strategies back into portfolio in order to see exactly which strategies are showing correlation with each other? In my opinion there will always be a bit of correlation overall since we’re scanning the same markets over and over using the same horizon periods for the most part. I think as long as the portfolio you take live is showing minimal similarities in the strategies (different rules, sl, tp etc) you should be fine. I just looked at my demo account and saw a lot of my new strategies taking the same direction as some of my older strategies that are still working from the beginning of 2019. This helps give me confidence in the newbie strats. Hope this helps?

[Anonymous]

Hi Roman,

Thanks for the reply.

No, I have not re-imported any strategies  back into EA Studio, in fact, I have never used this feature, too busy exporting EA’s!

Can I ask your advice?, if I re-import them, will the names I have given them and the magic numbers be affected? I have spent considerable time organising them, and would like to keep them that way!

I hope they will stay intact, because I see that your point is a good one, and would seem to be the easy way to check for correlations.

I understand what you say about the likelihood of correlations, although I have not been doing this for as long as you have, so have yet to see patterns emerge.

Cheers!

[Anonymous]

Hi guys,

what I have been doing the recent months is to avoid the Demo account and use just the reuploading.

I generate strategies daily, but I do not export the strategies as EAs.

I download the collections and name them according to the date it was created. After 1 month, I re-upload the collection and I see which strategies performed best during this one month(it is the same as if I tested on Demo).

It works really great so far, but I am doing some tests now to see if I recalculate it after 2 weeks or after 2 months will be better. I am not sure if 1 month is the best option…

 

[Anonymous]

Hi Andi,

That sounds interesting, and like a good way to cut out a lot of work – I currently am uploading each EA to MT5 (sadly no portfolio capability yet with MT5 :| ) and naming, uploading, compiling, and attaching to charts takes a lot of time, not to mention tring to keep track of all the EA’s on all the different MT5 platforms and all the different accounts!

Do you use Walk Forward and Monte Carlo? In theory, using these in the Reactor can eliminate demo trading too?

As I write this, I have set the Reactor to run for three days, it is currently at 23% of it’s run and has ascended eight strategies. I will keep running the Reactor until it has 99 strategies, and then think about what to do with them.

I’ll keep you posted :)

[Anonymous]

Happy Saturday,

Simon when you import them back into EA studios you don’t lose the magic number unless you export it again (just dump the collections when you’re done looking at the strategies by pressing the trash can at the top right corner). The magic number will just stay the same. When you upload and put all the EA’s for the pair into the portfolio you can see the contents (if you select the correlations in options it’ll display equity line and trading rules correlations) as they currently are running in your MT5, and then you can see their performance as an aggregate portfolio when you are in the “summary” tab.

To Andi’s point you can just sit on the collection for a few months and then re-upload them. But for me, i like to have them in demo so i know they are acting on the correct market structure before i put them live. This also helps me track their performance without bias. So at the end of the day you get to create your own “style” in work flow :)

[Anonymous]

Thanks Roman,

 

I’ve been playing around with the Portfolio tool, and it is certainly very useful :)

I’m rethinking my workflow.

Cheers!

[Anonymous]

Cheers Simon

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