Wow, fascinating approach. Scaling with # of setups instead of capital growth only also seems much more resilient to alpha decay, as only a small % of your capital is allocated to any individual setup. So when certain setups inevitably start losing, the max loss is limited
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We trade more alike than you might think. I only post about my discretionary BTC trades now but the bulk of my money is made in FX on 1-3 objective setups. I just haven't figured out how to make it programmatic yet.
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The large # of FX pairs allows me to use my capital very efficiently. It's also on my todo list to backtest and scale these setups onto different timeframes as you have.
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I think I may have a solution for your mechanical problem. I'm assuming you're running into the FIFO limitation present on most exchanges?
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Perhaps you could look into PrimeXBT. They allow simultaneous longs & shorts *on the same pair*. I opened the below as a test. It seems there's no limit either on the # of simultaneous positions. This allows you to pool your collateral and lever up to reduce counterparty risk.
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