Originally Posted by
aly
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.