Good day!

What about optimization of combination of strategies, opf f ( bet size) or equity size to assign to each strategy in their combination, execution order (priority) ?
As fitness function can be used all regular scorecards with added correlation of profit/losses of strategies?
May be you could add it to optimization or realize strategy combination optimization?)


Certainly there easy way to see how equity curve looks.) But would prefere some automation.

To be honest i m sure that it is easy, but still not enough friendly with all WLB possibilities.
I have an idea for example to run them under RunDonor and optimize equity size through strategy parameters with GA.
If i know all strategies i need to work together i can directly input their names in strategy code.StrategyParameter can be Equity size for each strategy.
But for example if i want to try to organize wpf or winforms dialogs choosing wich strategy go use and run under RunDonor - dont have any idea how to let strategy use any needed quantity (let s say 1-12 ) of parameters. If i understand right strategy parameters must be written directly.
Is there is any idea? Window with dialog wich strategy to use will be better for me.

Now i have some results - closed equity charts
for:
1. currencies strategies ( combination of 8 )

2. Stocks strategy (8)
3. Indices strategy (8)
4. Combination of indices and currencies combo strategies

To be honest very difficult to work with their characteristics manually.

Just little improvement needed but step will be big if u ll add possibility to optimize equity size of strategies based on some scorecards

Hi Alexey,

Honestly, it's unreasonable to expect that Fidelity would be interested in mobilizing resources to implement a rather arcane, if not single-user feature. We probably passed on some of Combination Strategy suggestions we collected, but so far they're not on the table. Therefore I think that you're heading in the right direction with implementing your idea using the means already available to you.

Let us know if you have some specific technical questions we could answer. It's not clear to me what issues you're facing from your monologue.

About arcane).

In equity charts attached above it s easy to see that combo strategy based on 2 combo strategies is very sharp. The chart of one combination strategies included in big combo is too waivy. But in summary result is good. Even average profit more than 2 times bigger than average loss and little bit increased than in basic currencies combo strategie.
But it is done manually by luck and feeling.

What i m trying to do is based on Ralph Vince book "The mathematics of money management. risc analysis technics for traders", published in 1992.
In this book author shows that there s only one way to find highest value of capital growth through highest value of geometrical mean of returns growths. He shows that it measures better risk/return than sharp and other risk/return ratios (geometrical mean of growth of returns certainly depends on losses, profits and reinvested capital). Optimial bet size (he calls it opt f) gives you best geometrical mean of returns if this serie has different values of returns. Kelly formula covers only serie of returns negative or positive but same size. Other position sizing solutions will be always far from opt f and wont give highest geometrical mean of growth of returns. Smaller and bigger bet size than opt f wont give you not only best capital growth but even could add additional risk.

Another important conclusion - even if you have super positive strategies if you put them work together - you cant be sure in overall results improvement due to risk of resonance of losses (if strategiees have series of correlated losses). There is only one way to find solution - is to find strategies with returnrs without correlation.

Opt f (equity size) can be found from serie of returns using some formulas and through GA - why not?

As for parameters coding.
For example i have 4 stratgies and i need to let them work in combination.
I can assign 4 strategies parameters (equity as parameter ) as usual:

CODE:
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What i m looking for - is it possitble to find solution with not pre defined quantity or parameters or pass it to optimizers from array or list.
I would like to get them from winform of wpf dialog.
If it could be declared as following or any similar style that could chage quantity and behaviour:

CODE:
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would be great and i could fill this array making new object (element) after have added new strategy in win dialog

Finally something works:

CODE:
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Now seems i am on the way to realise some ideas.

Another question.
How to synchronize 2 equity curves? Does equity has datetime fields?