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Question about portfolio composition #478963
01/28/20 20:58
01/28/20 20:58
Joined: Jul 2019
Posts: 46
Köln
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StefanCGN Offline OP
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StefanCGN  Offline OP
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Joined: Jul 2019
Posts: 46
Köln
I have 10 nicely working algos vs 20 assets and x EUR capital.

Can it make a difference for the overall profit, if i

1.) use a portfolio strategy with x EUR capital and all 10 algos

Or

2.) use for instance 5 and 5 algos with x/2 EUR capital each

If it makes a difference... Where / what should I read to understand how to select in an optimal way?

Last edited by StefanCGN; 01/29/20 07:16.
Re: Question about portfolio composition [Re: StefanCGN] #479499
04/02/20 18:20
04/02/20 18:20
Joined: Mar 2018
Posts: 29
hast29 Offline
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hast29  Offline
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Posts: 29
Stefan,

not sure if this is a coding question or a general question about money management and portfolio setup.

For the latter case, I have used the booklet "Embrace the Mayhem" from the Robotwealth team. The link is on the Zorro support page.

The abstract of their approach:
- besides the profit, one should always consider the annualized volatility of the portfolio, and keep it well below 15%.
- trade small, trade broad - details explained there.

There certainly is a possibility to code in Zorro and compare the performance reports. I leave the space here to more experienced members though.

Re: Question about portfolio composition [Re: hast29] #479854
05/01/20 12:55
05/01/20 12:55
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Posts: 46
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StefanCGN Offline OP
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StefanCGN  Offline OP
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Thanks for your answer! My question is a general one about composition and money management. I am not sure about the requirements of components other than being as broad as possible. I will habe a look in this booklet to see if it helps....

Re: Question about portfolio composition [Re: StefanCGN] #479888
05/03/20 08:38
05/03/20 08:38
Joined: Feb 2015
Posts: 607
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MatPed Offline
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MatPed  Offline
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Theoretically the 2 approach would generate the same results, in real world they will be different for the following reason:
1- when you place a trade it is not guaranteed that the broker will really open it. The same when you close it
2- margin requirement (particularly CFD) may lead to totally different number; even skip trades if the margin is too low
3- commission scheme may be different trading a lot or a mini-lot,...

Naturally if you plan to invest few millions it makes sense to spread the risk in several brokers. laugh

Ciao

Last edited by MatPed; 05/03/20 08:40.

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