Portfolio vs Stock Return

The portfolio versus stock return item is a money management script you can include in any trading system.

Here is how it works:
For each incoming new position, it calculates the N-bar return of that stock and compares it with the N-bar return of the portfolio (equity).
The new position is taken only if its return is positive and higher than the portfolio's return. In other cases, the position is rejected and a new position is analyzed.

I have tested this money management script on several trading systems and I was able to improve the overall performance of some of them. I have seen an increase in annual return, Sharpe and a decrease in drawdown in some trading strategies I am trading.

The "N-bar" variable used to calculate the stock and portfolio returns can be optimized directly from the simulator manager.
In "Money Management Variables" panel, click on "+" icon then specify a start, end and increment values.
After that, click on "Optimize" button to begin the optimization process.

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