Performance indicators & money management in portfoliotrader  [SOLVED]

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ALC
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Performance indicators & money management in portfoliotrader

Postby ALC » 18 Sep 2014

I got a small question regarding the portfolio trader.

The scenario is as follow:
1) We do have at list of trading systems.
2) Each one of systems is generating signals to enter and exit the market independently from the other systems.
3) we get a money management system that selects the top five instruments accordingly to a priority function.

On each system we do set the priority function in that way:
pmm_set_my_named_num("PriorityValue", 1);
if netprofit > 0 and absvalue(maxiddrawdown)> 0 then pmm_set_my_named_num("PriorityValue", netprofit / absvalue(maxiddrawdown));

In other words we are giving higher priority to all the strategies having a better net profit / drawdown ratio.

Now my question is: Since all the signals are generated independently and then, only then, the money management system is filtering the signals I expect that's all the performance indicators of each strategy are still up to date (including the trades deriving from the signals that were not sent to the market since blocked by the money management system).

Is my assumption correct?

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Andrew MultiCharts
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Re: Performance indicators & money management in portfoliotr

Postby Andrew MultiCharts » 24 Sep 2014

Hello ALC,

By "the performance indicators of each strategy" do you mean the tab "Portfolio Real-time Auto-Trading" where you can see the columns "Instrument", "Position", "Open P/L", "Net Profit", Risk Capital" and "Equity"?

ALC
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Re: Performance indicators & money management in portfoliotr

Postby ALC » 24 Sep 2014

Hi Andrew,

I'm using this code in each strategy not in the money management one:

pmm_set_my_named_num("PriorityValue", 1);
if netprofit > 0 and absvalue(maxiddrawdown)> 0 then pmm_set_my_named_num("PriorityValue", netprofit / absvalue(maxiddrawdown));

I mean for example on the above code the:
netprofit
maxiddrawdown

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Andrew MultiCharts
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Re: Performance indicators & money management in portfoliotr

Postby Andrew MultiCharts » 24 Sep 2014

ALC,

Yes, i got it. Could you still tell me what you mean by "all the performance indicators of each strategy"? Is it output of your codes?

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Re: Performance indicators & money management in portfoliotr

Postby ALC » 24 Sep 2014

When I use:
netprofit
maxiddrawdown

the MC functions in my strategy code for example...

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Andrew MultiCharts
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Re: Performance indicators & money management in portfoliotr  [SOLVED]

Postby Andrew MultiCharts » 26 Sep 2014

The netprofit and maxdrawdown calculated in each strategy should be always actual. If an order is filetered by pmms, this order simply doesn't exist for the strategy that generated it and it should not affect netprofit and maxdrawdown.

ALC
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Re: Performance indicators & money management in portfoliotr

Postby ALC » 26 Sep 2014

Thanks.
Loud and clear ;)


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