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Portfolio Money Management Algorithms


The Portfolio Money Management Algorithms were developed to manage the combined trading systems equity curve intra-day. The ability to answer intra-day risk management questions for combinations of trading systems has become a focus in our algorithmic trading systems portfolios research. Typically, combined trading system portfolios end of day performance and risk analysis is measured with the Portfolio Calculator or the Multicharts Portfolio Trader. Building a tool similar to the Money Management Algorithms, we found a way to measure the combined trading systems portfolio equity curve intra-day and in real time, down to one-minute intervals. The Portfolio Money Management Algorithms are a series of indicator and strategy templates that allow us to measure and manage risk more incrementally so that portfolio level stop losses can be used intra-day.


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