A new version of the Equity Combo Utility has been released, and includes the following new features:
- Modes 1 and 3 have been combined to provide a simplified user interface while adding new functionality.
- When optimizing the percentage allocation to each strategy, the utility can now consider up to ten strategies instead of just two.
- The code snippets inserted into your strategy AFL now save Exposure data, allowing the Equity Combo utility to report Min, Max, and Average exposure.
If you’re not yet familiar with the concept behind this utility, you may want to review my original post about combining equity curves as a way to estimate the combined performance of multiple trading strategies. Or you can read the documentation to see if this utility is a tool that you want to add to your strategy development toolbox. Please visit my Services page for more details.
The ability to utilize exposure data is very powerful, because it allows you see the impact of “over-allocating” your strategies. For example, if you allocate 40% of equity to each of three strategies, then the theoretical maximum exposure is 120%. However, many strategies seldom use 100% of the capital allocated to them. By using exposure data from each strategy, the Equity Combo Utility can calculate and report the actual maximum exposure of the combined systems, helping you optimize efficient capital utilization either with or without leverage.
Price is still just US $149, or existing users can upgrade for $49.