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##### Trade Journals / Re: Jimmy's Account - SFE Combo

« Last post by**Attractor**on

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**Today**at 12:30:59 PMI see, I just removed the message, not for think that can't be approved, but because really I peffer that people don't expect my participation there, you know I use all my free time to the work on the EAs and if I exchange feedback with the community I will center this here.

Next is my explanation, the point is that he talked about 'max' profit, and obviously I didn't said that the final profit is the sum of 'max' profits:

As an example, and assuming a fixed size of the trades:

If in the backtest the DD of the system A is for example 300$, and you want to fix the DD to 30%, then you need 1000$ of balance.

And if the system B is the same, DD of 300$, you need 1000$ for the system B for fix a 30% DD.

But if you use A+B and you apply the same criteria, have max. 30% DD, you don't need 1000+1000=2000$, becuase the probability that the 300+300 DD happens at the same moment if very low. Then, this depends of the correlation between strategies, and then you can do a merged bactkest an if the result is for example that max DD with A+B has been 450$, then, for fix the DD at 30%, you need 450/0.3 = 1500 $ instead of 2000 $.

And at same time, the 'total' profit (I didn't say the maximum profit) at the end of a period X or at the end of the backtest, is obviously the sum of the profit of the system A + system B at this date. And for reach this profit, you have only used 1500$ instead of 2000$. This is the final conclusion, that if your system A needs 1000$ and your system B needs 1000$, for use both with the same risk criteria (30% of the balance), you 'only' need 1500$, not 2000$, and you are still gaining the profit A + profit B, this is, the same profit using less $ of balance, then a better yield of the inversion.

Anyway, the document I wrote some years ago, some of the new EAs doesn't exist at that moment, then, I will do a global backtest soon to update my conclusions about the % of the EAs and which of them are more or less correlated.

Next is my explanation, the point is that he talked about 'max' profit, and obviously I didn't said that the final profit is the sum of 'max' profits:

As an example, and assuming a fixed size of the trades:

If in the backtest the DD of the system A is for example 300$, and you want to fix the DD to 30%, then you need 1000$ of balance.

And if the system B is the same, DD of 300$, you need 1000$ for the system B for fix a 30% DD.

But if you use A+B and you apply the same criteria, have max. 30% DD, you don't need 1000+1000=2000$, becuase the probability that the 300+300 DD happens at the same moment if very low. Then, this depends of the correlation between strategies, and then you can do a merged bactkest an if the result is for example that max DD with A+B has been 450$, then, for fix the DD at 30%, you need 450/0.3 = 1500 $ instead of 2000 $.

And at same time, the 'total' profit (I didn't say the maximum profit) at the end of a period X or at the end of the backtest, is obviously the sum of the profit of the system A + system B at this date. And for reach this profit, you have only used 1500$ instead of 2000$. This is the final conclusion, that if your system A needs 1000$ and your system B needs 1000$, for use both with the same risk criteria (30% of the balance), you 'only' need 1500$, not 2000$, and you are still gaining the profit A + profit B, this is, the same profit using less $ of balance, then a better yield of the inversion.

Anyway, the document I wrote some years ago, some of the new EAs doesn't exist at that moment, then, I will do a global backtest soon to update my conclusions about the % of the EAs and which of them are more or less correlated.