Hi all, I have a a portfolio containing a multiple of strategies on 5 markets.. NG,CL, ES and S all intraday strategies, and then i have one strategy mean reversion sp500 stocks 1-5 days max hold. I cant decide on a portfolio funds allocation strategy, i am locked to a known stop per trade, and i am locked to a constant position size while in a trade. Each market contains 4 strategies, and can all go long or short. Question, So am leaning towards a simple allocation strategy, by looking at portfolio max Drawdown total or max Drawdown intraday for the past 20 years and then allocate capital enough so that max drawdown represent the wanted max allowed drawdown of my portfolio for example 15%... Or a capital allocation based on Montecarlo of the whole portfolio, how would you model this? look at what what 5% probability max dd represent of a montecarlo run of porfolio, and use that DD as a number and allocate capital enough to have that number represent for example 15% of the portfolio capital? Idea or suggestions ?