PMKing Trading LLC
Capital Allocation with Multiple Trading Systems
***** OMG *****

Effective allocation of trading capital across multiple trading systems is an important concept that allows us to maximize the return on each of our trading systems, and therefore our trading dollars, euros, yen etc.


This eBook describes the four levels of capital allocation from the highest (business) to the lowest (trade) level.  The levels of capital allocation discussed include:


  • Business
  • Account
  • System
  • Trade


Concepts that are explained, along with their practical application to trading, include:


  • Position-sizing at the trade level
  • Allocation methods for multiple trading systems
  • Use of leverage and trading notional amounts
  • Calculating system performance with a changing capital allocation


Once you have read and understood the concepts in this eBook you will be able to easily define a capital allocation model at each level that suits your requirements and effectively uses an amount of leverage you are comfortable with.  You will also know how to allocate capital to each of your trading systems accordingly.


Once you have a suite of positive-expectancy trading systems, the way you allocate your available capital to them is one of the most important decisions you will make that determines the overall size and volatility of your trading returns.

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