I have a few EAs that have a max draw down between 5% and 10%
Say I run 3 EAs that each have a max drawdown of 10% over 200 trade sample size, each ea trades a different market, how could I calculate my max drawdown of the combined EAs running together? I guess market correlation is a factor? lets say it is eur usd, xag usd, and oil which are all pretty uncorrelated. SHould my max drawdown stay around 10% or would it be much higher?
Welcome to Babypips, @superpipman !
“Having a maximum drawdown of 10% over 200 trades” is honestly almost insignificantly irrelevant.
Any system (and therefore any EA) could perfectly easily have a maximum drawdown of 10% over 200 trades (and make a good profit over 200 trades) but still be a big loser over 1,000 or 2,000 or 3,000 trades.
There’s a crazy, silly Youtube channel that “tests” systems for 100 trades each(!!) and announces which are “profitable,” but more extensive testing (e.g. over 10,000 trades) of course invariably shows that they’re not at all.
Sample size is hugely important.
But it’s far more complicated and counterintuitive than just that. For example, if you test a trend-following system over trending markets, then it doesn’t matter whether you test it for 200 or 2,000 trades, because it will show some profits and a small drawdown over either period, but in the live market it can still easily be a big net loser because markets typically trend for only 20% of the time.
There isn’t a simple “arithmetic formula/equation” which is realistically going to help you with an answer to what you’ve asked above, because unfortunately your starting-point and assumptions simply aren’t based on anything realistic. Sorry to be the bearer of bad news.
A good approach for you would be start with a careful reading of “Systematic Trading & Profitability” by Michael Harris. There’s a free PDF version available on the web, if you use Google. It would have enormous other benefits too, in addition to enabling you to correctly answer your question above (though in reality, you’ll want to change the question, once you’ve read it!).