Managing Multiple Strategies

[Linus van Pelt]

Say you're trading multiple strategies, A, B, and C. Say A & B are weekly and C is daily. Say each has $100K initial equity, but could have different position sizes and other criteria.

Each strategy would create its own portfolio, so strategy == portfolio - they are synonymous.

Each strategy would have its own portfolio of stocks, backtests, metrics, performance expectations/targets, perhaps different risk management, etc., etc.

How do you manage this scenario?

What I'm thinking is you have to create one broker account per strategy. Otherwise the profits would conflate, the performance would be harder to track, etc.

I suppose it would be possible to track this in an external program, such as the old share trade tracker, Sharesight.com, etc. But each time you place a trade you'd still have to know if $xxx was available for this strategy from $yyy in the total brokerage account.

To me a separate account for each strategy/portfolio would be easier. But I'm interested in your thoughts and how you manage this scenario.

Thanks!

 

[tech/a]

Can do it easily with IB

 

[Linus van Pelt]

Can do it easily with IB

I opened a demo account with IB.
I'd prefer to use a dedicated app if the broker has one, which IB does (TraderWorkstation). Written in Java. Yuck, but willing to give it a go.
The interface was HORRIBLE on my HiDPI laptop. In fact, I couldn't complete the setup to do any paper trades and test the system.
Since "everyone" seems to rave about IB, I assume I'm doing something wrong?
I'm happy to provide screen shots.
Perhaps I should just give the web interface a try?
The "eye candy" in the Saxo TraderPro app runs circles around IB.
But that doesn't mean it's the better trading platform, i.e. your quote above.

 

[tech/a]

I’m no tech guru
I have people who are
I do know you can run any number of seperate accounts and move around with a click of a mouse
How good it is in comparison with others is above my IQ

 

[Linus van Pelt]

I do know you can run any number of seperate accounts

But that's what I asked in my first post - do you have one separate account per strategy/portfolio?

What I'd really like is a broker that would allow you to create "virtual folders", ala Windows Explorer, where each trade was allocated to a particular folder (i.e. strategy/portfolio), and the metrics (initial equity/profit/loss/% return/etc) were calculated per folder, and a rollup for your entire account.

IOW you have one *account*, and one cash management account, and technically one trading account, but the ability to group the positions per strategy/portfolio and manage those as though they were separate trading accounts.

In the brokers I've seen (either real or demo account) I haven't found this yet.

How good it is in comparison with others is above my IQ

Nah, I doubt that, I just suspect you invest your thoughts on more productive endeavours.

{https://distincttoday.net/2020/11/2...urs-of-sleep-and-makes-three-decisions-a-day/)

 

[DaveDaGr8]

Open an IB FA account and you can use models to do all of this.

So if you have a model called Momentum, you could trade and select that model and it would automatically buy/sell across ALL of the accounts the percentage or $ you specify in one hit ( don't need to go to each individual accounts ). Brokerage is split between accounts too so small parcels don't get stung.

You CAN use that on a single account, ie buy the model and all reports will say momentum or meanrevert etc so you can manage it within IB's internal system. You can also just view the model instead of account, generate reports on the model etc.

From memory it's not enabled by default ( probably deemed too dangerous ) you need to request it.

 

[qldfrog]

Sadly,

But that's what I asked in my first post - do you have one separate account per strategy/portfolio?

What I'd really like is a broker that would allow you to create "virtual folders", ala Windows Explorer, where each trade was allocated to a particular folder (i.e. strategy/portfolio), and the metrics (initial equity/profit/loss/% return/etc) were calculated per folder, and a rollup for your entire account.

IOW you have one *account*, and one cash management account, and technically one trading account, but the ability to group the positions per strategy/portfolio and manage those as though they were separate trading accounts.

In the brokers I've seen (either real or demo account) I haven't found this yet.


Nah, I doubt that, I just suspect you invest your thoughts on more productive endeavours.

{https://distincttoday.net/2020/11/2...urs-of-sleep-and-makes-three-decisions-a-day/)

I share trading systems on 3 bell direct accounts.not ideal but best i could do and manage them via excel spreadsheet.

 

[Linus van Pelt]

Open an IB FA account and you can use models to do all of this.

So if you have a model called Momentum, you could trade and select that model and it would automatically buy/sell across ALL of the accounts the percentage or $ you specify in one hit ( don't need to go to each individual accounts ). Brokerage is split between accounts too so small parcels don't get stung.

You CAN use that on a single account, ie buy the model and all reports will say momentum or meanrevert etc so you can manage it within IB's internal system. You can also just view the model instead of account, generate reports on the model etc.

From memory it's not enabled by default ( probably deemed too dangerous ) you need to request it.

Revisiting this old conversation...

Ok, so I've now got a live IB account. My account type is IKBR Pro. I'm using the TWS desktop interface (Java, not web browser).

I can use either the Mosaic or Classic interface. In the classic interface I can create multiple tabs, i.e. one per portfolio. I don't know if this gives the separation of metrics per system/portfolio as described in my original post?

I have seen IB's help articles on linked accounts, which is what I'm using with another broker.

Sorry @DaveDaGr8 , I don't understand what you're describing above? But if I have 5 systems, each with (for example) $100K Initial Equity, I want IB tp calculate the % return per system, and hopefully an aggregated % return across all systems, i.e. the entire account. And I may want to do dynamic PositionSizing based on current cumulative equity, so it's important that the equity be reported per system and not across the entire portfolio.

If you can just describe it such that I can Google or YouTube search, I'll be happy to DMOR.

(And while I really like the capabilities of their platform - I will love their basket order feature - their support has been underwhelming. 1 hr+ wait time on a support call, 1 week+ to get a reply on a support ticket).

 

[DaveDaGr8]

It's been quite a few years so this may be a bit out of date,

You need a seperate FA account ( friends and family ). You can only run models through a FA Account. It's nothing special and if you already have an account then it's just a paper excersize. Once you have an FA account you can link any account to it, your's, smsf, parents, kids, company, trust etc

https://www.interactivebrokers.com.au/en/index.php?f=46432

From there you can set up Model Portfolios.

https://www.interactivebrokers.com/en/index.php?f=20917

A model portfolio can be percentages of single or multiple accounts. It's a bit of a mind F*&^ but once it's set up logically it works. I have seperate models for seperate accounts due to the limitations of smsf. For example if you want 33% of your smsf and 10% of your trust equity in a particular model then you just set that up. Then you can view your model portfolio and make one trade using the model allocation and it will automatically split across your accounts.

Once i discovered the power of IB'S model portfolios i shut down my multiple IB accounts in favour of this.

It's worth playing with it a bit in the papertrader ( FA Version ) first to get your head around it all. I would give it an intuitive scale factor of about zero, but once you understand the methodology it's ok.

 

[Linus van Pelt]

Hi @DaveDaGr8,

Thanks for the great info. I just had a long call with IB support (after waiting an hour to get connected). Your info helped heaps in my communication with IB support.

He described the steps a bit differently than yours. I thought I'd restate those steps:

1) in case you disagreed with his advice/instructions, and
2) in case someone else comes across this thread in the future.

Perhaps this will save them an hour listening to the most boring on hold automated message, telling me every 30 seconds (for an hour) to hold for the next available agent.

1) I should create another account type called a Financial Advisor (FA) account. This account, as the name implies, is usually used by financial advisors to manage multiple clients. In my case, by way of analogy, I am the financial advisor managing multiple systems. Using this account, I can do the modelling you describe above, manage all those sub-accounts from the one login, review the metrics for each account separately, and have a holistic, summary view of all the accounts, such as via Reporting. I suspect my modelling is much simpler than yours - I just want to keep the systems separate, don't conflate the funds, see the metrics of each system separately, and get an overall view of the group of systems/portfolios, and do all of this as simply as possible.

I would create this new account as I did the first one, from the portal --> Create New Account, and select the correct account type. If I use the (exact) same name and other details as my current account, the approval process should go quickly.

I should create this FA account first, and wait for it to be approved, before going to step 2 below.

2) He said I would need one account for each system I was trading. If I want the same username/password to work across all accounts, i should create them as a linked account. To create the linked account, I would login through the portal using my current account, go to account settings, create linked account. I would specify the FA account details when I created those linked accounts.

Screenshots:









Here is the help for the 2nd and 3rd choices:






I'll work it out, will play with it in paper trading / demo mode, and can always call IB again (ugh!) if I don't know which one to pick.

Thanks again for your advice.

 

[DaveDaGr8]

Glad i could help.

I create one model per system.

I used to run multiple accounts, ie per currency and per system. I consolidated all my accounts so that for each entity all my equity is in one account ( ish ). So SMSF, Me, Trust, Kids, parents all have 1 separate trading account each. If you ran seperate accounts per system, you would have to maintain the minimum margin requirements for each account ... 100K US.

Each account can put a percentage that it would like to trade into each model. ie Momentum, breakout, daytrade, weekend trend tracker, mean reversion, gold, forex, etf. Obviously SMSF is restricted, no day trading ( or severly limited ) and no borrowing. Parents are more risk adverse, so no high risk stuff and more dividend income etc. So you really can balance out your account profile to risk/regulatory requirements even on a modest account.

It's definately something you want to play with in your FA paper trader to see how it fits you.

The one thing it doesn't play with is the portfolio analyst .... i really wish it did.

 

[Linus van Pelt]

Hi @DaveDaGr8,

Sorry your reply generated one more question. I'm sure both you and I hope it's the last one, but this one is easy and just requires a short reply - 1 or 2.

From your comments above, are you saying:

1) You have only the one Financial Advisor account? With no other sub-accounts or linked accounts? Or...

2) You have the one Financial Advisor account, and (at least) one additional account(s) managed by that FA account?

I think you're saying #1, but want to be sure.

Your answer will determine whether I:

1) Get IB to change my current individual account to a FA account so I can access Portfolio Modeller. I would then fund that account for all my systems, and use Portfolio Modeller to create "virtual" portfolios for each system. Or...

2) Create the FA account from scratch, then link my current individual account to the FA account once it's created.

Sorry to keep asking the questions...are you surprised that you know more about setting this up than IB support staff?

Edit: I see I already described this in a post above. I must be getting forgetful but decided to leave this bit in here anyway...

Off topic...

I wish all brokers would implement a concept analogous to Windows (or Mac or Linux) file systems. You just have a bunch of files (positions). To organize them you create folders (portfolios and/or systems). You can create folders within folders (Bollinger Bands System, Version 1,2,3. Or Equities, Futures, and Bonds, then sub-systems). You can get metrics on the files and folders contained in a given folder (total file size, number of files, etc) (% profit/loss, market value, cash value, etc).

It doesn't seem that hard to me (as a computer programmer) to create "containers" for positions, and metrics for those containers (the same metrics as they do now, just filtered for the positions within that container).

From what you've described above, the Portfolio Modeller is the closest thing to this, unless some broker unknown to me has implemented my idea of containers above. And the above is a known paradigm - it certainly wouldn't be a mind F*&^

 

[DaveDaGr8]

It's all good ..... it's not very intuitive and pretty much like opening any IB account ..... painfull.

So yes i have 1 FA account ( Fxxxxxx) and trading accounts (Uxxxxxx).... The Fxxxxxx actually has nothing in it, i'm not even sure it can have as it's just an advisor and is denoted with an Fxxxxxx and is unfunded. All my trading accounts are Uxxxxxx and are funded.

Any Uxxxxxx account can be linked to a fxxxxxx. That's one of the points, you could actually link your friends account and trade for them, or they could trade for you.

Now the market data part is the bit i'm unsure of now. I know i had problems and i resolved it with IB online, but i can't remember what the resolution was. I am almost positive i used my personal account for tax reasons, and it propagates up to the FA so the market data subscription can be used by the FA account. But there were issues.

 

[Linus van Pelt]

Sorry to be dense...
So confirming, one FA account, and 1 trading account (per system?)

I'll create the FA account from scratch, then assign my one trading account to it for now.
I'll play with Portfolio Modeller using the paper trading account, and see if I can get the 1 trading account + Portfolio Modeller to mimic my systems.

By way of example, if I have 5 trading systems @ InitialEquity of $100K, I would put $500K in the one trading account, then create 5 models for my 5 systems, with the model funded @ $100K each.

I'm only trading equities for now, and I'm sure my setup isn't as complex as yours (i.e. across smsf, different instrument types, possibly different currencies, etc).

I'll see if I can get the 1 FA account + 1 trading account + Portfolio Modeller to meet the needs of my separate trading systems. If not, I'll contact IB for further advice (and they'll tell me to create additional linked accounts, probably one per system).

Thanks again for all the help!

 

[DaveDaGr8]

Yep ... That's exactly how i do it ... one account ... 5 models.

 

[Linus van Pelt]

Hi @DaveDaGr8 and @tech/a ,

I have created the Friends and Family Financial Advisors (FA) account, and have linked my Individual Account (IA) to it. I have created the Paper Trading FA account, with its 5 dummy linked accounts in it.

I have played extensively with Models and Groups in the paper FA account. Models are close to what I want, but with a major showstopper.

Here is my use case: I use Amibroker and/or RealTest to create systems. These tell me what to buy/sell, when, what amount, etc. These systems create basket orders which I use to input the trades into IB.

I just want to track the trades that "belong" to a system as a group. I want to track the metrics - P/L%, Unrealized Profit, etc. per system.

By analogy, I think of Window's File System. We have a "root folder" (C:\), analogous to our IB account. We have files we put in our file system (trades). But we wouldn't dump all our files in the root folder, that would be a mess (what I have now in IB). Instead, we create sub-folders (analogous to our "systems") and put all the files that are relevant to that folder in that folder. I can then RMB that folder and get metrics, such as # of files in the folder and total size of the files in that folder (analogous to the metrics I want for my systems).

It's a concept that's been around for 50+ years. If IB is so fantastic, I don't see why they haven't thought of this by now. Just allow me to group my trades in a "bucket".

Back to models: I create a model, I don't bother setting target allocations because there aren't any targets. I can transfer cash + positions from independent ONE TIME. After that it establishes the "model" and the transfer cash + positions button is disabled. This isn't my use case. I'm not using models in the way they were designed to be used in IB, and I'm losing faith that they will support my use case which, AFAIK, I've clearly explained above.

Sorry @tech/a, I can't "do it easily with IB". I would love the advice of your tech gurus on my use case. "I do know you can run any number of separate accounts and move around with a click of a mouse". Yes that could be a possibility, except I'm not a certified financial advisor, so my Friends and Family account is limited to 5 linked accounts. I will likely trade more than 5 systems in the future. I also tried this approach (one account per system) with another broker, and it was a real hassle constantly moving funds between accounts. I would be nice to have all the funds available in the one account, and just have a notional percentage allocation across systems.

If you, Dave, or anyone else have any details on how my use case can be done in IB, please let me know. Apologies if I didn't make my use case clear in previous posts.

 

[peter2]

Is there a text/number field available on the IB order so that you could include the system label? Amibroker could then include the system label in the IB order as it knows the system that generated the order. A programmer who uses the IB-API may know if such a field exists.

 

[tech/a]

I’m sure it can be done
I know Radge has done it
When I’m chatting next I’ll bring it up
I’m interested in the answer myself

 

[DaveDaGr8]

Try the orderRef field, and you can set it from TWS or the API. It's just a dumb string for user trade Info.

Trader Workstation User Guide

www.interactivebrokers.com

It doesn't have to be unique, so you could put in a system name, or comment or whatever.

The orderRef also COPIES itself across to the execution. So if you partly filled an order, you can then change the orderRef, the first execution will contain the first orderref and the second part the second orderRef. Probably only usefull for comments

I have no idea how to generate reports using this via IB though, or even if you can get it in the reporting field in their standard reports. It would be more a dump to excel kind of thing.

 

[DaveDaGr8]

To answer @Linus van Pelt

Trader Workstation User Guide

www.interactivebrokers.com.au

Add a field BasketTag, which then writes through to OrderRef. Why are they not consistant GRRRR