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Portfolio Construction
Started:October 24th, 2012 (12:59 PM) by dgresens Views / Replies:726 / 3
Last Reply:October 25th, 2012 (03:33 AM) Attachments:0

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Portfolio Construction

Old October 24th, 2012, 12:59 PM   #1 (permalink)
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Portfolio Construction

I'm considering trading the following combination of portfolios, but I don't understand which combination is the "better" choice and would like to solicit feedback.

Portfolio one consisted of 1 contract each of EC, GC & EMD with the following performance stats:

Total profit: $299,550
Avg Win: $1980
Avg Loss: $957
% Profitable: 40.5%
Win/Loss 2.07
Drawdown 14.15%

Portfolio two is EC & GC only, again a single contract:

Total Profit: $221,545
Avg Win: $3310
Avg Loss: $1410
% Profitable: 40.5%
Win/Loss: 2.35
Drawdown: 19.64

Which combination would represent the lower risk option?

Many Thanks.

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Old October 24th, 2012, 12:59 PM   #2 (permalink)
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Old October 25th, 2012, 01:45 AM   #3 (permalink)
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Backtest results have little to do with future results.

That said, I will shout to @imPairsonator and see if he can spare some time to work his magic in answering your question. He has an excellent thread on a diversified portfolio here:



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Old October 25th, 2012, 03:33 AM   #4 (permalink)
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First is better. If they correspond to the same period.
1 299,550 14.15 42,386 7.07
2 221,545 19.64 43,511 5.09

Of course the DD are too big for me on both.

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