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Portfolio vs Stock Return

by Brian Brown, 2877 days ago
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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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Type: Advanced Money Management

Object ID: 1313


Country:
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Market: Stock Market

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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.