Dynamic Strategy Allocation

Entry Logic

• Long entry: A portfolio of strategies is monitored in real-time. More capital is allocated to the strategies that are performing well in the current market, and less capital is allocated to the underperforming strategies.
• Short entry: Same as above.
• Confirmation: The performance of each strategy is tracked with a metric like the Sharpe ratio.
• Timeframe: Any.
• Location: Any.
• Market Condition: Any.

Exit Logic

• Profit Target: Not applicable.
• Scaling Out: Not applicable.
• Trailing Stop: Not applicable.
• Signal Failure: Not applicable.
• Opposite Signal: Not applicable.
• Time Expiration: Not applicable.
• Momentum Loss: Not applicable.

Stop Loss Structure

• Hard Stop: Not applicable.
• Soft Stop: Not applicable.
• Max Dollar Loss: Not applicable.
• Max Percent Loss: Not applicable.
• Structural Stop: Not applicable.

Risk Management Framework

• Risk Per Trade: Not applicable.
• Daily Limit: Not applicable.
• Weekly Limit: Not applicable.
• Max Drawdown: Not applicable.
• R:R Requirement: Not applicable.

Position Sizing Model

• Sizing Approach: The allocation to each strategy is dynamic.
• Volatility Adjustment: The allocation can be adjusted for volatility.
• Conviction Sizing: The allocation is based on performance.
• Scaling In: Not applicable.
• Scaling Out: Not applicable.

Trade Filtering

• Market Conditions: Any.
• Setups: Not applicable.
• Instruments: Any.
• Time Restrictions: Any.
• Chop/News Avoidance: Any.

Context Framework

• Trend Direction: Not applicable.
• VWAP Relationship: Not applicable.
• MA Relationship: Not applicable.
• Range Location: Not applicable.
• Higher TF Alignment: Not applicable.

Trade Management Rules

• Breakeven: Not applicable.
• Scale Out: Not applicable.
• Add Size: Not applicable.
• Fast vs Slow Moves: Not applicable.

Time Rules

• Optimal Window: Any.
• Times to Avoid: Any.
• Session Notes: A sophisticated way to manage a portfolio of strategies.

Setup Classification

• A+ Setup: Not applicable.
• A Setup: Not applicable.
• B Setup: Not applicable.
• C Setup: Not applicable.

Market Selection Criteria

• Instruments: Any.
• Volume: Any.
• Volatility: Any.

Statistical Edge Metrics

• Win Rate: Not applicable.
• Avg Win: Not applicable.
• Avg Loss: Not applicable.
• Profit Factor: Not applicable.
• Expectancy: Not applicable.

Failure Conditions

• Market Conditions: When past performance is not indicative of future results.
• Specific Scenarios: A strategy that has been performing well suddenly starts to fail.

Psychological Rules

• Mental Discipline: A systematic and data-driven approach to capital allocation.

Advanced Components

• Regime Detection: The performance of the strategies can indicate the current regime.
• Filters: Not applicable.
• Correlation: The allocation can take into account the correlation between strategies.
• MTF Alignment: Not applicable.

Location

• Strongest: In markets where there are clear winning and losing strategies.
• Weakest: In markets where all strategies are performing similarly.