Monday, 30 July 2012

Algo Portfolios

Another big advantage of running an algo is that you can construct an algo portfolio. An algo portfolio is just running a number of algos on different markets at the same time.

The purpose of spreading my eggs into different baskets rather than picking the best basket and maxing it is that in this way I hope to smooth out my drawdowns and to compensate for a month of lesser performance from any one market. I want to "guarantee" myself a minimum level of monthly income, as much as that is possible.

I did a retest over the week-end and this is what the revised performance backtesting shows:


The backtesting I did was to implement the walk forward analysis that I decided on after considerable testing. All I need to do is to implement that every month and let Flo do her thing. As I'm running this in the cloud I just check her every morning before the open and let her run unattended all day, just checking that my VPS is reachable a few times a day.

I'm getting some great results using the new customised Renko bars in MultiCharts. They seem to correct a lot of the issues with other types of bars. You can try MultiCharts for free - use the link from the blog to buy and it supports the blog.


  1. Hi Tom,
    how many contracts do you trade to have these results? (I mean for every market)

    1. cazzeroli, that was for 1 contract per market. I then do a position sizing exercise so my risk per market is balanced unless I oarticularly want more risk on a particular market.

  2. jenrique42

    someone knows how to make the market profile in the futures platform infinity? I've tried a couple of times but can not get something out

    if you could upload a video the better


    alguien sabe sacar el market profile en la plataforma de infinity futures? lo he intentado un par de veces pero no consigo que salga algo

    si pudieseis subir un video mejor que mejor

    1. jenrique42, I don't know what can be done on the infinity platform itself, but infinity data is supported by MarketDelta that provides great Market profile: