Trade journal. Ensembling of volumes.
This article will discuss one of the ways to determine the optimal volume ratio between robots. About ensembling of trading volumes, which can be done manually, in the OsEngine journal. This information is relevant for robot sets when you have multiple robots trading simultaneously.
Equal distribution of trade volumes.
The simplest thing to do is to distribute volumes evenly among robots.
Let's say you have 10 robots. Divide all the money you want to trade by 10 and set it for trading.
This is the simplest approach, and it works.
Ensembling.
Distributing volumes among robots in such a way as to minimize the maximum drawdown.
Conduct tests on the remaining robots on the entire available history and open the journal.
For this, you need the ability to dynamically change the entry size per position in the tester's journal.
And in OsEngine, this feature is available!
1. You need to conduct tests with an equal distribution of volume.
Your robots should trade in % of the deposit and have an equal part of it in trading operations during testing.
2. Open the journal and change the volume multipliers, paying attention to the maximum drawdown.
In the standard general TesterLight journal, there is a column "Mult %" in the left panel that changes the volume value for each individual robot when it is changed. By default, this is 100 %, but by changing it from 100 in different directions, we get modified volumes for each robot.
You need to change this value and observe how the equity indicators on the right change.
3. What should you definitely not do?
This operation (Ensembling) is called "curve-fitting", because at some point you can "overdo it" and over-optimize the portfolio of robots. You should not play around with this functionality!
1. Do not increase the volumes for one robot in trading by more than 100% of the average.
2. Do not decrease the volumes for one robot by more than 50% of the average.
After all, in real trading, trades and drawdowns on robots will not replicate their profiles in the tester by 100%. Therefore, be careful.