how to arrange money for two different strategies?

C

cf0532

strategy one: IR(infomation ratio): 0.3210;win ratio(win orders/all orders): 0.61;
strategy two: IR: 0.2101; win ratio: 0.63;

Is there some formula for calculating how much money should be arranged to these two strategies? or needs some other indicators?
 
I guess that the capital allocation depends on your objectives. You could simply allocate 50%/50%. Or allocate depending on the volatility of each of these strategies. Or allocate based on the expected drawdown of each of them. You have multiple choices.
 
Find out how often, if at all they'd "intrude" on each other's exposure. Lower their weights until it's minimal or none-existent. It's not worth doing 50/50 usually because it's rare both would have full exposure at the same time. And if they do overlap a lot then the problem is that you're trading correlated strategies and it's time to re-think.
 
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