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If you assemble the portfolio on the condition that the total volume is equal to the volume of one system, the absolute drawdown will decrease.
Alexey,
I am sprinkling my head with ashes. I did not fully grasp the essence of the question yesterday. Indeed, my own calculation shows that if I decrease the lot volume in proportion to their number, the profitability will be at the average level of all systems, and the maximum drawdown really becomes less than in any particular case.
This is a great diversification scheme! All that remains is to find systems with positive MO.
OK, let me draw it again just to be clear.
The order volume of each of these 10 systems is constant and equals 1 lot.
And now let's take the sum of all these 10 systems and divide it by 10 so that the total order volume of the portfolio is 1 lot (0.1 lot from each of the 10 systems):
So, is the drawdown getting bigger?
Order volume is of course a good thing. But why is the sum of all trades on 10 systems = 286, and != 2845?
I would divide by 10 to find the average ....
Brrr. I'm talking about the graphs here: https://forum.mql4.com/ru/44751/page737
What average are we talking about?
Brrr. I'm talking about the charts here: https://forum.mql4.com/ru/44751/page737
What kind of average are we talking about?
Yeah. Where's 2845?
And I told you that the sum of all 2860 and divide by 10 and you get the 11th chart with almost no drawdown. A synthesized tool, so to speak.
Right. Where's 2845?
And I told you that the sum over all is 2860 and divide by 10 and you get the 11th chart with almost no drawdown
Uh... here we go: 3*281+7*286=2845
You can divide everything in such a way but, hopefully, get a line of equity so easily, arithmetically on the average, it is incomprehensible.
I'm waiting for Mathemata to answer. Perhaps he, as the author, can explain how the number of trades in 10 TS at the same time is the same as in one TS, but fitted to the story.
Phew... from here: 3*281+7*286=2845
So you can divide anything, but so easily, arithmetically averaged, to get a line, I hope, equitability is incomprehensible.
I'm waiting for Mathemata to respond. Perhaps he, as the author, can explain how 10 TS have the same number of trades at the same time as one TS, but adjusted to the story.
Err... yeah, you're so sharp, you should not have shown me the horizontal axis. And you don't look at the number of trades, you look at the balance.
In each system, the number of trades is actually 299 (well it just so happens). Diversify has 2990 of them in general, of course. It's just that they are all smaller than the original trades by a factor of 10 in volume.
If we build it correctly, we should also consider the lifetime of each deal of the initial systems.
In short, the divergence curve here is constructed under a 10 times smaller power: in fact each of its "deal" contains approximately 10 deals the balance of which slightly "staggers" up and down comparing to this curve. But still not as much as the original ones.
P.S. I made a video demonstrating what happens to the diversification when the random functions which are the basis for the models of the portfolio components are recalculated.
I remind you of the basic characteristics of the systems: m.o. = 1, and the result of the trade is a random variable from 1-15=-14 to 1+15=16.
day 6 of the grail works
http://www.onix-trade.net/?act=monitoring_stat&xid=37772&lang=ru
And this is mega meat :D counted correctly works day 13)
there is sagging on the onyx, but i was playing with the lot and zooming, experimenting in general did not work, now i am moving on
...
P.S. Made a video demonstrating what happens to the diversification when you recalculate the random functions that are the basis of the portfolio component models.
I remind you of the basic characteristics of the systems: m.o. = 1, and the result of the trade is a random variable from 1-15=-14 to 1+15=16.
Here is the real dumbest system just stop loss 25 stop loss 500 euro bx from 2008 dc alpar no strategy and tricky
plus there is an anti-martin if you get lucky n times multiply the lot by k ( it's optional)
this is a test with a fix lot i know there are more pictures like this .... and more but maybe someone will be interested
the owl is attached
I don't know why you have such a growth, but since the beginning of 2008 to the present day I have not been drained, of course, but disappointed. No, of course it's nice to keep half of it. I think it's just a fluke.