Portfolio Trader - Money Management Signal

Questions about MultiCharts and user contributed studies.
Gary_MC
Posts: 7
Joined: 21 Dec 2021

Portfolio Trader - Money Management Signal

Postby Gary_MC » 14 Jun 2022

Hi,

Is there anyone here using the MC Portfolio Trader function live or do most people run each algo individually?

I've built a small portfolio of CME Futures strategies that I want to turn on live after a few months of Sim account monitoring. Since putting them together using MC Portfolio Trader I have also been playing with Portfolio Money Management settings offered in this tool. Under "Money Management Signal" tool I've added "!optimize by Sharpe ratio" which lowers profit with same DrawDown but improves Win rate and average trade size, therefore it cuts out a bunch of losing trades. I also checked "!optimize by equity curve std dev!" and it does exactly the same. However when I go to the MC Wiki I can't find any information on exactly what these do.

I'd like to know if these Portfolio money management optimizations are only good for back testing or can they / should they be used be used for live trading?

Thanks,
Gary

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Svetlana MultiCharts
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Re: Portfolio Trader - Money Management Signal

Postby Svetlana MultiCharts » 29 Jun 2022

Hi Gary,

You can find more information about Sharpe ratio on this page.
Here is another thread related to Sharpe ratio optimization.


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