Dynamic Money Management @ Portfolio, Strategy, & Symbol Levels.

  • Status Closed
  • Budget $1500 - $3000 USD
  • Total Bids 32

Project Description

Looking for add on trading development to existing trading & back testing software - currently leaning toward AmiBroker:

Can AmiBroker AFL or Low Level Back Tester, or a Custom DLL do this:


AcctValue-RT $ 500,000

%Leverage 150%

#Strategies 4 Equal Weight

MaxPositions 8 Per Strategy

Portfolio Max%DD 10.0% Stops Hit @ Once (All Strategies & Symbols)

Portfolio Calculations:

BuyingPower $ 750,000(AcctValue-RT*Leverage)

$PerStrategy $ 187,500(BuyPower/#Strategies)

$PerSymbol $ 23,438 ($PerStrategy/MaxPositions Per Strategy)

Strategy Max%DD 2.5% (PortfolioMax%DD/#Strategies)

Ticker Max%DD 0.3% (StrategyMax%DD/#MaxPositions)=BaseFF%Risk

Constrain Symbol Level Position Size to Lesser of:

1) $PerSymbol (Notional Value)

2) Ticker Max%DD (Symbol Fixed Fractional (FF) %Bet Size

Looking for a skilled financial programmer who can incorporate this Portfolio Level Position Sizing to existing Multi-Symbol Strategies (Equities, Futures, Forex, Options) & their associated Back Testing results (i.e. Equity Curves).

Dynamic Equity Curve Filters & Under-Overweight (Martingale & Anti-Martingale) will be optionally applied at the Symbol (i.e. AAPL, ES, GC), Strategy (ROC,MR,Pattern), & Portfolio Level

Strategy Level = (1+ret%AAPL)*(1+ret%ES)*(1+ret%GC)

Portfolio Level = (1+ret%ROC)*(1+ret%MR)*(1+ret%Pattern)

Open to AmiBroker, NinjaTrader, TradeStation, Multi-Charts, Modulus, or any existing software where the Quote DB, Back Testing Engine, Genetic Optimizer, Walk-Forward, ect. does not have to re-invented.

Project#1 is Dynamic Money Management @ the Portfolio, Strategy, & Symbol Levels (Budget Price below if only for Project#1)

AND (if successful)

Project#2 is to incorporate Project#1 with Interactive Brokers (IB) API for an Advisor (Multiple - Separate Managed Accounts) to each independently Auto Trade from one Master (Control) Account.



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