On the portfolio

Also seen as: portfolio-based rule, equity-curve trading, portfolio stop

What does the rule watch?

The rule watches your Combined as it would have run if it had always stayed Risk-On, with no costs — the app's note reads "Always held Risk-On, with no costs. No series to choose." It does not watch the Combined's actual curve, because that curve already reflects the rule's own switches: judging it would make every switch change the signal that caused it. Holding the watched version permanently Risk-On keeps the signal independent of the decision it drives.

Which metrics can it use?

The rule reads one Metric, and each has its own test on the watched value $P_t$:

where $P_t$ is the watched value on day $t$, $\sigma_t$ its annualised volatility over the window, $\max_{s \le t} P_s$ its highest value so far, $\overline{P}_{t,n}$ its average over the last $n$ days, $\theta$ the threshold you set, and $g$ the gap from the average. In words: Risk-Off while the Combined swings more than you set, sits at least the set share below its peak, or trades below its moving average by more than the gap.

The same three tests in prose: volatility uses a trailing window and a yearly figure; drawdown needs no window because it is always measured from the running peak; the trend test with a gap of 0% fires as soon as the Combined is below its average.

How does Fincanva handle it?

• Combined only. The rule is offered at the Combined level and never inside a single strategy; there is no series to choose.
• About twice the calculation time. To decide, the backtest first simulates the Combined held Risk-On with no costs, then runs it for real. The builder shows it as a notice: "About twice the calculation time." and "That is why the simulation does not start on its own: you start it." — after a change, the Combined waits for you to start the backtest.
• It stays Risk-On until its window is full, and each test uses only data up to the day it judges.
• One threshold, no hysteresis. The confirmation delay is the brake against switching back and forth; its hint on this rule reads "This rule has a single threshold: the delay is your brake against switching too often. 0 = immediate." Auto-rebalance works as it does on any condition.
• On the portfolio is included from the Ultimate plan, at the Combined level. On Advanced it still appears in the list, tagged with the plan level that includes it. See what each plan includes.
• In the list of risk conditions a saved rule shows "On the portfolio" with its metric and its threshold, for example "≥ 20%" with "21-day window", or "< average" with "200-day moving average".

What does it look like in practice?

A Combined holding two strategies gets an On the portfolio rule with Drawdown at 15% and a confirmation delay of 1 week. Its always-Risk-On version peaks at 120,000. Over the next two months it falls to 108,000 — a 10% drawdown, under the threshold, so nothing happens. It keeps falling to 101,000: $1 - 101{,}000 / 120{,}000 \approx 15.8\%$, at or above 15%, so the rule asks for Risk-Off, and a week later the Combined switches to its Risk-Off allocation.

It returns to Risk-On once the always-Risk-On version climbs back within 15% of its peak — above 102,000 — and the delay has passed. With Realized volatility at 20% instead, the same stretch would have switched only if the Combined's 21-day volatility rose to 20% a year, however far it had fallen. The figures are illustrative, not a suggested setting.