super combo
I was working and came up with a potential scaling up combination, which is super.
It adds 18 systems to the 28 already traded, but
1) it actually doesn't increase the maximum drawdown, whereas
2) it does increase overall profit by 25%,
3) it improves the sharpe ratio from 4.8 to above 5, and
4) it decreases the max drawdown days from 40 to 29.
The profit you see in the image above is from the backtested period of 8 years. It returns about 12500 every month, but since the future is usually worse than the past, then I'd be counting on 8k per month.
Margin-wise: the margin required by now we know it's only half of the maximum theoretical margin, and, the more systems I add, the better will be that ratio. It's a fact I had forecasted a long time ago. But now it's proven scientifically:
That's right. The red line in the background is the maximum margin required IF all systems were to trade at once, but since they don't (in theory they could, but in the past 13 months they never used more than 20k of margin at once, as the black line on the bottom of the chart shows), then actually the ratio keeps on decreasing the more systems we add.
You see, it works like this: if we were trading one system, then of course when it trades, the ratio is 100% of the max theoretical margin. But then, if we trade 2 systems, the chance of them trading together decreases: they won't always trade together or maybe never. So the max theor.margin goes up, whereas the actually needed margin stays the same. And the ratio max/real goes down. Now imagine a situation where we are trading 46 systems. The chance of all of them trading at once
does exist, because we're talking about systems potentially trading in the same time zone (otherwise the max theoretical margin would be even higher, but it wouldn't make sense to add them up if it's impossible for them to trade at the same time), but that chance is very small. It's like when you toss a coin many times: there is always a chance that if you toss it 1000 times, it will come up with head each time, but you can invest as if the chance wasn't there. Now: we're tossing that coin many times all at once, so we can count on needing about 50% of the maximum theoretical margin. Also, because, even when, once a year, that ratio will be exceeded, there will always be some extra capital on the account, which is there to cover potential drawdowns.
So my confident forecast is that we can trade this new combination of 46 systems with a capital of 60k, since their max theoretical margin is 120k.
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I also want to get ready for super combo version 2, when all 46 systems get their contracts doubled up and we add systems on silver.
Ok. Here's super combo 2:
The days of drawdown increase but so does the sharpe ratio so it's good. Maybe I can get rid of some double contracts for those systems that perform the worst and things can even get better.
Here's all the systems/contracts it needs (i've enabled a bunch of silver and natural gas systems):
HTML:
AUD_ID_01 2
AUD_ID_02 0
AUD_ID_03 0
AUD_ON_01 2
CAD_ID_01 2
CAD_ID_02 2
CAD_ID_03 2
CAD_ID_04 2
CHF_ID_01 2
CHF_ID_02 2
CHF_ID_03 0
CHF_ID_04 2
CHF_ID_05 2
CL_ID_01 0
CL_ID_02 1
CL_ID_03 1
CL_ID_04 1
CL_ID_05 0
CL_ON_01 0
CL_ON_02 1
CL_ON_03 1
CL_ON_04 0
CL_ON_05 1
ES_ID_01 0
ES_ID_02 0
ES_ID_03 0
ES_ID_04 0
ES_ID_05 0
ES_ID_06 0
ES_ID_07 0
ES_ON_01 0
ES_ON_02 2
EUR_ID_01 0
EUR_ID_02 0
EUR_ID_03 2
EUR_ID_04 0
EUR_ID_05 2
EUR_ID_06 2
EUR_ID_07 0
EUR_ID_08 0
EUR_ID_09 0
EUR_ID_10 2
EUR_ON_01 0
GBL_ID_01 2
GBL_ID_02 2
GBL_ON_01 2
GBP_ID_01 0
GBP_ID_02 0
GBP_ID_03 0
GBP_ID_04 2
GBP_ID_05 2
GBP_ID_06 2
GBP_ID_07 2
GBP_ID_08 2
GBP_ON_01 0
GC_ID_01 2
GC_ID_02 0
GC_ID_03 0
GC_ID_04 0
GC_ID_05 0
GC_ID_06 0
GC_ID_07 0
GC_ON_01 2
GC_ON_02 0
GC_ON_03 0
HG_ID_01 0
HG_ID_02 2
HG_ID_03 0
HG_ID_04 0
HG_ID_05 0
HG_ID_06 2
HG_ID_07 2
HG_ON_01 0
HG_ON_02 0
JPY_ID_01 2
JPY_ID_02 0
JPY_ID_03 0
JPY_ID_04 2
JPY_ID_05 0
JPY_ON_01 0
JPY_ON_02 2
NG_ID_01 2
NG_ID_02 2
NG_ID_03 2
NG_ID_04 1
NG_ON_01 1
NG_ON_02 1
NG_ON_03 1
NG_ON_04 1
NQ_ID_01 0
NQ_ID_02 0
NQ_ID_03 0
NQ_ON_01 2
NQ_ON_02 0
SI_ID_01 1
SI_ID_02 1
SI_ID_03 1
SI_ID_04 1
SI_ID_05 0
SI_ID_06 0
SI_ID_07 1
SI_ON_01 1
SI_ON_02 1
YM_ID_01 0
YM_ID_02 0
YM_ID_03 0
YM_ID_04 0
YM_ID_05 2
YM_ID_06 0
YM_ON_01 2
YM_ON_02 0
ZN_ID_01 0
ZN_ID_02 0
ZN_ID_03 2
ZN_ID_04 0
ZN_ID_05 0
ZN_ID_06 0
ZN_ON_01 0
ZN_ON_02 3
ZN_ON_03 0