Quote Originally Posted by aly View Post
I would consider to:

1. start by constructing a portfolio of the IWM Robot and GDX Robot that has produced the lowest intraday drawdown, not considering leverage.

2. next construct a portfolio of the IWM Robot and GDX Robot that has produced the lowest end-of-day drawdown, not considering leverage.

3. next construct a portfolio of the IWM Robot and GDX Robot that produces the lowest annualized volatility, not considering leverage.

After performing the above steps, a clear answer as to the appropriate allocation between the two robots may emerge (at least based on historical results) for the maximization of volatility-adjusted return. If not, further investigation will be required.
This looks like a great idea. I accept your help with great pleasure, because I am somewhat overwhelmed.
In the attached file, you will have two sets of thee colums. These are the results of either IWM/GDX or TWM/GDX combined portfolio (compared to each element separately).

I'd be happy if you could share the formula that you use to calculate the drawdowns that you mention on these equity curves. I can then generate different ratio of IWM/GDX combinations as I only use now 50/50.

Thanks again for your help.



Pascal

IWM_GDX_TMP.xls