Money Management (2/2)

Portfolio level:

• HCDD (i.e. Hard cash Draw Down) DD on the Cash, i.e. measure the risk on the trading capital @ open on positions (depending on stops) – initially negative but can turn positive while making money on stops levels
• DD (i.e. Draw Down), i.e. cumulative risk on the total account value (trading capital plus unrealised capital gains - UGC) always positive
  –(DD = UCG – HCDD)
• Optimise usage of leverage while matching HCDD and DD limits; leverage equation:
  –((Cash + UCG) - DD) * FE > (Market-Exposure - DD) (SRD)
  –((Cash + (UCG / 2)) - DD) * FE > (Market-Exposure - DD) (US)
• Optimise market exposure based on market internals and locally overbought / oversold conditions (GC of Securities minimize P2T)