How I Calculate Risk per Strategy to Achieve Equal Portfolio Weighting
When running multiple expert advisors or trading strategies in the same portfolio, equal risk per trade does not mean equal exposure. In fact, using a fixed risk per trade across different strategies almost always leads to imbalanced performance, where some strategies dominate the portfolio while others dilute returns.
The goal of my risk model is simple:
Every strategy should contribute roughly the same expected annual return to the portfolio.
If both use the same risk per trade, Strategy B will naturally have much higher exposure, even if it performs worse.
Even with the same number of trades per week, the strategy with longer holding time has:
A 1% move today is not the same as a 1% move 20 years ago — volatility-based risk solves this.
If all strategies end up with the same real-world profit factor, they will also produce the same annual return.
This is the foundation of a properly balanced multi-strategy portfolio.
