I have been looking at portfolio balance too but from a slightly different way… I feel that the 400% leverage is risky so want to reduce it as much as possible…my goal is 20% cagr for portfolio

so start with non-leveraged AUS momo and US momo in cash account (can see from table of annual returns not 100% correlated)…once combine AUS and US momo things looking ok (column D)….add MOC (column E)(only SPX in this table but should add in XKO MOC if weren’t being lazy) and looks better (column F and G)..so the balance issue becomes how much can I reduce the highly leveraged MOC and still have it hedge the years when momo go poorly…seems ok 65% momo and 35% moc…(col F)….may even go 75/25

Specifics are not issue…just throwing forward another approach to look at topic

Good discussion topic thanks Julian. Couple of clarifying questions:
1) What do you mean by
“All trend Following systems: 92% of funds in account
MR system: 58% of account
MOC system: 58% of account”

2) When you say ” the MOC has 50 days with 100% exposure in the last ten years and the MR has had 11 days with 100% exposure” do you mean maximum number of positions allowed by the system has been hit that amount of times (which would mean that you would have been exposed 400% exposure on 50 occasions over the past 10 years)?

I am not sure how to objectively make the decision….. if the same equity is shared between several systems then there will naturally be times when the equity is trying to be in multiple places at once…in other words, the backtests are no longer an accurate representation (maybe out by just a little..maybe a lot eg if TF systems miss a few winners at the start of a trend….who knows?)

How do you decide how much to allocate..normal metrics such as maxDD or the timing of maxDD for each system etc would have changed (by an unknown amount)

Is the 60% based on exposure rather than walk forward or correlation of timing of maxDD between systems ?..cant quite work out where the 60 comes from but exposure seems to be common in the post

As a starting point, if (when) another 20% loss like 1987 occurs, at 4x leverage I think I would like my MOC system to be max of 1/3 of portfolio …but 1/4 sounds even better now I write it down…12 months ago it was 100% (but was only 2X leverage back then)….who knows what I will think in another 12 months

OK so I’m assuming that you mean there’s 3 separate accounts of $100k for illustrative purposes (I’m basing this on $92k + %58k + $58k doesn’t = $100k)? If so, what’s the reasoning (even if gut feel, not mathematical) you get these allocation %’s? For e.g. let’s say I’m allocating $x’000 to the MOC system. I’m doing this because I want it to be a small % of my overall financial markets investment capital. If I get all signals filled I will be 100% (or 400% because of leverage) exposed for that 1 session. I wouldn’t allocate 58% of my $x’000 to the maximum position size, it would be the full amount. I control the overall risk by the amount I allocate to the strategy. As I write this I get the feeling that we’re not talking about the same thing?

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Maybe you need to lose some weight