HClemmons Member Posts: 9 Joined: 10/11/2012  User Profile | I have done extensive work in calculating the "expected value" of the trades within a strategy based on a grouping of the most recently completed trades. I have used this to rank the strategies and select the strategy with the highest expected trade return. Since the average trade return plays a very important role in determining the overall portfolio performance(along with trade allocation percent and number of trades), the process has worked very well. When the same symbol is traded in multiple strategies, I look to the strategy with the highest expected return to determine whether the trade should be taken. Care must be taken with certain strategies, as the expected return may look good, but the variance can be quite high and result in poor trade results. | |
