Here's a question which I have been struggling with for a time. I'm hoping someone may be able to help me. Assume the following: Mechanical day trading (flat at the close) system, trading 4 futures markets. All 4 markets have virtually idential characteristics - profit factor, percent profitable, drawdown, etc. All 4 markets have the same amount of "equity" allocated to them, and similar absolute performance. Because, at any given time, one of these markets tends to be going through a drawdown (which typically lasts about 2 weeks, but there is a big variation) I would like to only trade 3 of them at a time. What I can't work out, however is how to choose which three. I have tried using moving averages on the equity curves, and I have tried ignoring the market with the current worst drawdown (while continuing to monitor this market until it is no longer the worst), but nothing I have tried improves the overall performance of the "portfolio". I refuse to accept (although I may have to) that there isn't a way of doing this. Anyone have any ideas? Any and all suggestion appreciated.