I’m not willing to share my full allocations as I don’t want to get into any sort of “giving advice” territory. However, I’m happy to share a bit of my general methodology.
In general, I look to allocate based on a fixed drawdown per system. So I have a number in my head of what I’m willing to tolerate from a system in terms of its drawdown. Then, I consider what I believe the max drawdown of a system will be. This is largely discretionary, but based on a combination of historical drawdown, any backtests or Monte Carlo tests the developer has, and the worst point of any given trade. I typically then adjust my percentage allocation accordingly. I will adjust this down if I’m less confident in a system, or up if I have successfully traded a system for a while.
For example, I’ve given a larger-than-average allocation to CkNN, because I’ve messaged the developer and followed him for a year. A lower risk system like Carma Stocks also gets an extra large allocation. I’m actively considering cutting Event Hunter, not because of recent performance in general but because of lack of communication and the tremendous risk in the single Crude Oil Trade. I believe he’s got good long term potential, but I don’t like the risk that I would suffer a huge loss of Oil gets a negative price shock. If he offerred half allocations I would do it but since he’s already trading a lot of single lots, it’s just not feasible.
On the drawdown side, I have a fixed point at which I will scale back a system (assuming I still have confidence in them–sometimes I just eliminate the system upfront). This means my position size reduces as drawdown increases, which helps make sure that a system doesn’t get too out of control. Usually, if this point is reached it means my allocation was too big to start out with.
Even though I rely heavily on uncorrelated systems, I like to make sure that I am comfortable with what would happen if every system simultaneously went into drawdown. Past experience tells me markets are not stationary and often several good systems will either go into a drawdown or stop working altogether at the same time, no matter how uncorrelated they seem up to that point. So I want to make absolutely sure my risk tolerance can handle that.
In general, my account is up or down between 5-10% on any typical month, just to give you a sense of my overall volatility. In large months it can be as much as 20% in a month. I’m comfortable with that but most people might not be.