MONEY MANAGEMENT ALGORITHMS

Money management algorithms for systematic portfolios.

Use portfolio-level money management rules to transform raw strategy signals into smoother equity curves, adaptive position sizing, and risk-controlled growth across multiple markets and systems.

Platforms TradeStation · NinjaTrader · MultiCharts
Use cases Equity Curve Management · Portfolio Overlays · Risk Caps

How MM algorithms transform equity curves.

Money Management Algorithms apply technical analysis to the equity curve itself, creating a "trading system for a trading system" that filters entries and manages risk based on equity curve performance rather than market price action.

MONEY MANAGEMENT ALGORITHMS (MMA)
E(t)
S₁(x)
Filter
E′(t)
E(t)
⟶
S₂(x)
⟶
Filter
⟶
E′(t)
E(t)
⟶
S₃(x)
⟶
Filter
⟶
E′(t)
  • Equity curve trading for individual trading systems.
  • Apply technical analysis to the equity curve.
  • Better entry algorithm for entry techniques.

Money Management Algorithms Concept

The Money Management Algorithms (MMA) are a "trading system for a trading system" that applies technical analysis to the equity curve of your base strategy. Instead of analyzing market price action, MM algorithms analyze the performance of your trading system itself.

The key innovation is that the base strategy continues to generate trades and track its equity curve even when the MM algorithm filters out entries. This allows you to answer "What If" questions like: "What happens if I stop trading during drawdowns and restart on new equity peaks?"

  • Equity curve trading for individual trading systems
  • Apply technical analysis to the equity curve (moving averages, RSI, ADX, etc.)
  • Better entry algorithm for entry techniques
  • 13 customizable rules for filtering and managing trades
MM Algorithm Concept
Base Strategy
→
Equity Curve
→
MM Algorithm
→
Managed Trades

Portfolio Money Management Algorithms (PMMA)

The Portfolio Money Management Algorithms (PMMA) were developed in 2023 to manage the combined trading systems equity curve intra-day. This portfolio-level overlay sits above individual strategies, watching the combined equity and making risk management decisions at the account level.

PMMA allows you to measure and manage risk incrementally so that portfolio-level stop losses can be used intra-day. The system tracks combined equity down to one-minute intervals, providing real-time risk management for multi-system portfolios.

  • Equity curve trading for combined trading systems
  • Portfolio level stop loss and profit targets
  • Manage risk intra-day with real-time equity tracking
  • Connect multiple strategies into one managed portfolio
PMMA: 4 strategies → one portfolio equity curve
4 strategies
PMMA
Combined equity curve

Portfolio Money Management Algorithm Examples

PMMA templates can be customized for different portfolio configurations. Below are key applications for managing multi-system portfolios.

Signal Strength Trader

The Signal Strength Trader sums trading system signal inputs and returns a net position based on signal thresholds. For example, with 20 E-mini Nasdaq strategies, if NetPosLong is set to +3, the system takes a long position only when long signals minus short signals exceed 3.

  • Combines multiple strategies trading the same market
  • Net position calculation based on signal strength
  • Configurable thresholds for entry/exit
  • Portfolio-level risk management
PORTFOLIO MONEY MANAGEMENT ALGORITHMS — SIGNAL STRENGTH TRADER
S₁(x)
S₂(x)
S₃(x)
S4(x)
S5(x)
S6(x)
···
Sₙ(x)
⟶
f(x) = Σ xᵢ i=1..n
⟶
Filter
⟶
Combined equity

Market Position Trader

The Market Position Trader connects all strategies into one combined trading system, taking the same trades as the original signals but with portfolio-level risk management. This enables intra-day stop losses, position limits, and additional trade management that would be impossible with individually managed strategies.

  • Connects multiple strategies as one system
  • Portfolio-level stop loss and profit targets
  • Max contracts and daily entry limits
  • Framework for additional trade management
PORTFOLIO MONEY MANAGEMENT ALGORITHMS — MARKET POSITION TRADER
S₁(x)
S₂(x)
S₃(x)
S4(x)
S5(x)
···
Sₙ(x)
⟶
Filter
⟶
Combined equity curve

Seven-Step PMMA Setup Preview

Start with four basic strategies (RSI, Bollinger Bands, Momentum, Consecutive Closes) and build out a live setup where each strategy measures the combination of all strategies in its trade decisions intra-day.

1 Basic Strategy Setup
2 Connect Strategies
3 Add PMMA Overlay
4 Configure Risk Rules
5 Test & Optimize
6 Deploy Live
7 Monitor & Adjust

PMMA Benefits

↑
Intra-day Risk Management

Manage risk in real-time, not just end-of-day

+
Strategy Integration

Connect multiple systems into one managed portfolio

⚙
Customizable Templates

Open code allows unlimited customization

≡
Portfolio Analytics

Track combined equity down to one-minute intervals

Money Management Algorithms (MMA) – The 13 Rules

The Money Management Algorithms were originally developed starting in 2005. They provide an overlay of technical analysis techniques applied to the equity curve to decide when to trade the strategy. Each rule can be used independently or combined for sophisticated risk management.

1

Close Trade Moving Average

Trade the strategy only if the two-period moving average of the closed trade equity curve is up.

2

Close Trade ADX

Trade the strategy only if the ADX of the closed trade equity curve is above the ADX Threshold.

3

Closed Trade Stochastic

Trade the strategy only if the Stochastic of the closed trade equity curve is above the Stochastic Threshold.

4

Closed Trade RSI

Trade the strategy only if the RSI of the closed trade equity curve is above the RSI Threshold.

5

Average Trade Profit

Trade the strategy only if the Average Trade Profit of the last 10 trades is within the specified range, typically above 0.

6

Better Entry Price

Improve entry efficiency by entering at better prices using limit orders based on the base strategy's market position and entry price.

7

Drawdown Stop

Stop trading if equity goes into a pre-defined drawdown, then restart trading if it reaches a pre-defined run-up from equity valley lows.

8

Open Trade Drawdown Start I

Require the Drawdown to be greater than the Average Drawdown of the last 100 bars.

9

Open Trade Drawdown Start II

Require the Drawdown to be less than the Average Drawdown of the last 100 bars.

10

Open Trade Moving Average

Require the open equity curve two-period moving average to be up.

11

Open Trade RSI

RSI of the open equity curve of the last L1 bars must be greater than the RSI Threshold.

12

Dip Buying Entry

Enter the strategy on a drawdown by "buying dips" of a specified amount/input.

13

Consecutive Losers Algorithm

Start trading after a specified number of consecutive losers.

Money Management Algorithm Examples

Real-world examples of how MM algorithms improve trading system performance by managing equity curve drawdowns and optimizing entry timing.

RSI Breakout Fader
Managed with Rule 1: Closed Trade Moving Average

RSI Breakout Fader

One of the best ways to trade Nasdaq futures is to fade RSI breakouts. The equity curve for this strategy is favorable, but how do we manage risk during periods when it doesn't work as well?

The RSI Breakout Fader managed with MMA Rule 1 (Closed Trade Moving Average) reduces historical drawdowns significantly. Using default inputs of 20 and 40 for the moving average periods, the strategy only trades when the equity curve is trending upward.

Momentum Fader
Managed with Rule 1: Closed Trade Moving Average

Momentum Fader

A basic Momentum indicator strategy for the E-mini Nasdaq that fades rallies and buys dips. This pattern is very relevant in current markets.

Applying the closed trade moving average with default inputs of 20 and 40 reduces historical drawdowns while maintaining profitability. The MM algorithm filters out trades during equity curve downtrends, improving risk-adjusted returns.

VIX Swing Strategy
Managed with Rules 6 & 12: Better Entry & Dip Buying

VIX Swing Strategy

A long-term swing trade strategy with an amazing closed trade equity curve but very steep intra-trade drawdowns. The MM algorithm can transform this into shorter-term swing trades or day trades.

Using Rules 6 (Better Entry Price) and Rule 12 (Dip Buying Entry) with $1000 stop loss and $1000 profit target per contract, combined with Entry/Exit Times, enables a day trade approach that uses the VIX Swing strategy's market position to determine when long trades should be taken.

Lifetime license options

Both Money Management Algorithms and Portfolio Money Management Algorithms are available as lifetime licenses with complete training, open code, and ongoing support.

Money Management Algorithms

Individual Strategy MM Overlay

  • Complete Training Course with 22+ Lessons
  • Open Code Software for complete customization
  • Optimization Algorithm
  • Strategy Specific Algorithm
  • Fully disclosed trading system examples
  • ADD Divergence, VIX Swing, Momentum Fader, RSI Breakout Fader
  • MM Indicators - released in 2023
  • Easylanguage Training Sessions
  • Lifetime access to Membership Area, Upgrades, Support
Equity Curve Management
Contact for MMA License

Requires signed Non-Disclosure Agreement for complete access

Portfolio MM Algorithms (PMMA)

Multi-System Portfolio Overlay

  • Complete Training Course with 20 Lessons
  • Open Code Software for complete customization
  • PMMA Indicators
  • Signal Strength Trader
  • Market Position Trader
  • PMMA 7 Step Setup
  • Fully disclosed trading system examples
  • Consecutive Closes Fader, Bollinger Band Fader, HVDP Trading Systems
  • Easylanguage Training Sessions
  • Lifetime access to Membership Area, Upgrades, Support
Portfolio Integration
Contact for PMMA License

Requires signed Non-Disclosure Agreement for complete access