How do you handle drawdown rules across a portfolio of EAs (prop firm style)?
[O]nce combined drawdown gets close to the limit, do you cut size, pause the weakest EA, or something else?
I suggest calculating your average consecutive loss count (as a quantity of losing trades). The Tester can readily spit that number out but if you don't like the Tester, you're left with real-time tracking and calculation. Then when that threshold average is exceeded, reduce all of your next trades' position sizes to something like 0.01. When you get back in the black (profit) and only when you get back in the black, increase all of your next trades' position sizes back up to the usual sizes.
You could write some code to simulate trades and stay flat after exceeding your average consecutive loss count, but then you have to calculate your average spread, slippage, etc. which will never be 100% as accurate as live trading a reduced position size.
I've been running several EAs together on the same account instead of one single strategy, mainly to smooth the equity curve, but it's forcing me to rethink risk management completely. A single trailing stop or fixed lot size per EA doesn't work anymore, because the drawdown that actually matters is the combined one, not each EA's individual number.
Right now I'm doing something fairly simple: each EA reports its floating result to a shared variable/file, and a master risk block starts cutting position sizes proportionally once the aggregated equity drawdown crosses a threshold (testing 5% and 8% steps). It works, but it feels crude, especially when trying to respect daily loss limits like the ones prop firms impose.
For those running multi-strategy portfolios: how are you measuring correlation between EAs in real time, not just from backtest reports? And once combined drawdown gets close to the limit, do you cut size, pause the weakest EA, or something else? Curious what's actually working for people trading this way instead of a single EA.
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I've been running several EAs together on the same account instead of one single strategy, mainly to smooth the equity curve, but it's forcing me to rethink risk management completely. A single trailing stop or fixed lot size per EA doesn't work anymore, because the drawdown that actually matters is the combined one, not each EA's individual number.
Right now I'm doing something fairly simple: each EA reports its floating result to a shared variable/file, and a master risk block starts cutting position sizes proportionally once the aggregated equity drawdown crosses a threshold (testing 5% and 8% steps). It works, but it feels crude, especially when trying to respect daily loss limits like the ones prop firms impose.
For those running multi-strategy portfolios: how are you measuring correlation between EAs in real time, not just from backtest reports? And once combined drawdown gets close to the limit, do you cut size, pause the weakest EA, or something else? Curious what's actually working for people trading this way instead of a single EA.