Portfolio of Strategies Approach

Entry Logic

• Long entry: Instead of trading a single strategy, a portfolio of multiple, uncorrelated strategies is traded simultaneously. The entry signal for each strategy is generated by its own rules.
• Short entry: Same as above.
• Confirmation: Not applicable.
• Timeframe: Any.
• Location: Any.
• Market Condition: Any.

Exit Logic

• Profit Target: Each strategy has its own exit rules.
• Scaling Out: Each strategy has its own exit rules.
• Trailing Stop: Each strategy has its own exit rules.
• Signal Failure: Each strategy has its own rules.
• Opposite Signal: Each strategy has its own rules.
• Time Expiration: Each strategy has its own rules.
• Momentum Loss: Each strategy has its own rules.

Stop Loss Structure

• Hard Stop: Each strategy has its own stop loss rules.
• Soft Stop: Not applicable.
• Max Dollar Loss: The risk is managed at the portfolio level.
• Max Percent Loss: The risk is managed at the portfolio level.
• Structural Stop: Each strategy has its own rules.

Risk Management Framework

• Risk Per Trade: The risk is allocated across the portfolio of strategies.
• Daily Limit: A portfolio-level daily loss limit.
• Weekly Limit: A portfolio-level weekly loss limit.
• Max Drawdown: A portfolio-level maximum drawdown limit.
• R:R Requirement: Varies by strategy.

Position Sizing Model

• Sizing Approach: The position size for each trade is determined by a portfolio-level risk management algorithm.
• Volatility Adjustment: The position sizing can be adjusted for volatility.
• Conviction Sizing: Not applicable.
• Scaling In: Varies by strategy.
• Scaling Out: Varies by strategy.

Trade Filtering

• Market Conditions: Any.
• Setups: Each strategy has its own setup criteria.
• Instruments: A diverse range of instruments.
• Time Restrictions: Any.
• Chop/News Avoidance: Any.

Context Framework

• Trend Direction: Varies by strategy.
• VWAP Relationship: Varies by strategy.
• MA Relationship: Varies by strategy.
• Range Location: Varies by strategy.
• Higher TF Alignment: Varies by strategy.

Trade Management Rules

• Breakeven: Varies by strategy.
• Scale Out: Varies by strategy.
• Add Size: Varies by strategy.
• Fast vs Slow Moves: Varies by strategy.

Time Rules

• Optimal Window: Any.
• Times to Avoid: Any.
• Session Notes: A professional approach to trading that focuses on diversification.

Setup Classification

• A+ Setup: Not applicable.
• A Setup: Not applicable.
• B Setup: Not applicable.
• C Setup: Not applicable.

Market Selection Criteria

• Instruments: A diverse basket of uncorrelated instruments.
• Volume: High.
• Volatility: Any.

Statistical Edge Metrics

• Win Rate: The portfolio win rate is a blend of the individual strategy win rates.
• Avg Win: Varies.
• Avg Loss: Varies.
• Profit Factor: The portfolio profit factor should be higher and more stable than any individual strategy.
• Expectancy: The portfolio expectancy should be positive and stable.

Failure Conditions

• Market Conditions: When all of the strategies in the portfolio fail at the same time.
• Specific Scenarios: A market crash where all correlations go to 1.

Psychological Rules

• Mental Discipline: Requires a focus on the overall portfolio performance, not individual trades.

Advanced Components

• Regime Detection: The portfolio can include strategies designed for different regimes.
• Filters: Varies by strategy.
• Correlation: The key is to have a portfolio of uncorrelated strategies.
• MTF Alignment: Varies by strategy.

Location

• Strongest: In all market conditions, due to diversification.
• Weakest: In a black swan event.