Combination Strategy position size is not using 100% equity?
Author: placebo76
Creation Date: 6/7/2016 6:35 PM
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placebo76

#1
Hi,

i try to describe it without screenshots ...

Strategy XY: 100% Equity Allocation, 95% Pos Sizing Equity

After some years of backtesting my equity has grown from 1Mio to 2.7Mio
But it seems to me that current trades only has the Position size of 1.3 Mio !?!?

Is there a checkbox or something else for using 100% of the current equity?

Because of this it happens that a backtest over 5 years results in a max drawdown of 6%, and the same strategy backtested over the last 3 months has a max drawdown of 9%! (when 5 years the last 3 months have only a position size less than 40% of the current equity -> lower drawdown)

Regards Daniel
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Eugene

#2
Hi,

Your observation is correct: it uses the initial size. This is by design and can't be changed. Please see the Wiki FAQ:

Strategies and WealthScript > Is child strategy equity being constantly readjusted on a day-to-day basis with regard to the "Percent of Starting Equity" allocation?
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placebo76

#3
Hi Eugene,

is there a workaround to get the real max. drawdown in a combination strategy?

The more profit i make, the lower is the max. drawdown due to decreasing pos size / equity
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Eugene

#4
Funny, I was about to reply something like "there can be no workaround for what is working by design" (it's true) and then I realized that this is what I've already been doing every couple months or so:

How is Performance of Combo Strategy Calculated?

Daniel, if you want to see the drawdown readjusted to the changing equity, just execute the system traditionally (Strategy window mode).