⚖️ Confidence-based Allocation
You have several good strategies and a limited risk budget. How much do you give each one? This module splits your risk in proportion to each strategy's confidence: more to the robust ones, less to the doubtful ones, and nothing to those that do not clear the bar.
You get in through 💰 Capital & Risk → Confidence-based Allocation. You choose a portfolio, tick the strategies, and the module re-tests them, estimates their AQ Confidence (from their trades alone) and works out the split.
The AQ Confidence (0..100)
A robustness grade computed from the trades alone — a quick, honest proxy. It combines five ingredients:
Number of trades: the more there are, the more reliable the evidence.
The share of positive months: that it wins often, not off one big score.
That both halves of the history win by similar amounts (not everything at the start).
Ret/DD: profit for every unit of drawdown.
Profit Factor: how much it makes for every dollar it loses.
It is summarized as an A / B / C / D grade. It does not replace the Survival Test or the Walk-Forward — for the final word on one specific strategy, put it through those.
How it splits the risk
You set a total risk budget (heat) — a % of capital — and it is split among the strategies that clear your minimum confidence, in proportion to their confidence. Optionally it penalizes correlation: the ones that move together weigh less, so the portfolio does not end up depending on a single engine.
Account capital and the total % to put at risk (6%, say). Total risk = capital × heat, and that is what gets split.
Below that grade, the strategy is excluded — we do not put capital where the evidence is thin.
It lowers the weight of highly correlated strategies (Pearson on their monthly P&L).
What you see
- ·Allocation per strategy — a table with Confidence (grade), Trades, Ret/DD, Corr., Weight, Risk %, Risk $ and Contracts. It sorts by any header, the selected row is highlighted in orange and you move with the ↑/↓ arrows. Every header carries its explanation on hover.
- ·Risk allocation — bars with the % and the contracts of each included strategy.
- ·Summary — total risk, strategies included, average confidence, average correlation and total contracts.
- ·A reading in plain language — the verdict and the warnings (what was excluded and why, or which strategy does not even cover 1 contract).
Do not risk the same on something you have watched work 500 times as on something you have barely tested. Confidence-based allocation puts your money where the evidence is, and leaves out whatever has not earned it yet.
AniQuant can be tried free for 30 days, with every module and no card.