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PortfolioRebalancer - Automated Portfolio Management¶

Description¶

🧩 PortfolioRebalancer maintains balanced exposure across multiple trading symbols by automatically rebalancing positions to match target allocations. Like a mutual fund manager, it ensures diversification and prevents over-concentration in any single symbol.

Strategy Principle: Continuously monitors actual exposure vs. target allocations and rebalances when deviation exceeds threshold:

  • Multi-Symbol Trading: Manages portfolio of 2-10+ symbols simultaneously
  • Target Allocations: Each symbol gets specific percentage (e.g., 25% each for 4 symbols)
  • Automatic Rebalancing: When symbol deviates >10% from target, rebalances
  • Diversification: Reduces risk by spreading exposure across multiple instruments
  • Set-and-Forget: Runs automatically without manual intervention

File: examples/demos/orchestrators/15_portfolio_rebalancer.go

IMPORTANT DISCLAIMER - EDUCATIONAL EXAMPLE ONLY

This orchestrator is a demonstration showing how GoMT5 methods function and combine into automated portfolio management. NOT a production-ready trading strategy! Always test on demo accounts first. Exposure calculation is simplified and may not match your broker's margin requirements.

What is Portfolio Rebalancing?¶

Simple Explanation¶

Imagine you don't trade just one currency pair (like EURUSD), but trade SEVERAL pairs at the same time. This collection is called a portfolio.

Example Portfolio: Instead of only EURUSD, you trade:

  • EURUSD (Euro/Dollar) - 25%
  • GBPUSD (British Pound/Dollar) - 25%
  • USDJPY (Dollar/Japanese Yen) - 25%
  • XAUUSD (Gold) - 25%

Why Trade Multiple Symbols?¶

Diversification: If EURUSD moves against you, other pairs might profit

Risk Reduction: Don't put all eggs in one basket

More Opportunities: Different markets move at different times

Real-World Analogy¶

Think of 4 jars where you store coins. You want each jar to always have exactly 25% of your total coins. But as you add/remove coins, the balance shifts. Rebalancing means moving coins between jars to restore 25% in each.

🟢 Architecture¶

PORTFOLIO REBALANCER ORCHESTRATOR
    |
MT5Sugar Instance
    |
    |  |  |
GetOpenPositions  BuyMarket  ClosePosition
(monitoring)      (increase) (decrease)

Dependencies¶

  • MT5Sugar: High-level convenience API (GetOpenPositions, GetPositionsBySymbol, BuyMarket, SellMarket, ClosePosition)
  • BaseOrchestrator: Foundation pattern with metrics tracking and lifecycle management
  • protobuf types: pb.PositionInfo for position data structures

Configuration Parameters¶

Parameter Type Default Description
Allocations map[string]float64 required Target allocation % per symbol (must sum to 1.0)
TotalExposure float64 10000.0 Total portfolio value to maintain
MaxDeviation float64 0.20 Maximum deviation from target (20%)
RebalanceThreshold float64 10.0 % deviation to trigger rebalance
CheckInterval time.Duration 1h How often to check balance
MinPositionSize float64 0.01 Minimum lot size for positions
UseMarketOrders bool true Use market orders (true) or limit (false)
SlippageTolerance float64 50 Max slippage in points for limit orders
MaxTradesPerCycle int 10 Max trades per rebalancing cycle

Configuration Example¶

config := orchestrators.PortfolioRebalancerConfig{
    Allocations: map[string]float64{
        "EURUSD": 0.25,  // 25% EURUSD
        "GBPUSD": 0.25,  // 25% GBPUSD
        "USDJPY": 0.25,  // 25% USDJPY
        "XAUUSD": 0.25,  // 25% Gold
    },
    TotalExposure:      10000.0,          // $10k total portfolio
    MaxDeviation:       0.20,             // 20% max deviation
    RebalanceThreshold: 10.0,             // Rebalance at 10% off
    CheckInterval:      30 * time.Minute, // Check every 30 min
    MinPositionSize:    0.01,             // Min lot size
    UseMarketOrders:    true,             // Use market orders
    SlippageTolerance:  50,               // Max 50 points slippage
    MaxTradesPerCycle:  10,               // Max 10 trades per rebalance
}

rebalancer := orchestrators.NewPortfolioRebalancer(sugar, config)

How to Run¶

# Navigate to examples directory
cd examples/demos

# Option 1: By number
go run main.go 15

# Option 2: By keyword
go run main.go rebalancer

Both commands launch the PortfolioRebalancer orchestrator with configuration from main.go -> RunOrchestrator_PortfolioRebalancer().

🟢 Algorithm¶

Flowchart¶

START
  |
Validate Configuration:
  - Do allocations sum to 100%?
  - Calculate target dollar values per symbol
  |
MONITORING LOOP (every CheckInterval):
  |
  Get all open positions
  |
  Calculate current exposure per symbol:
    For each position:
      currentExposure[symbol] += position.Volume × 100000
  |
  Analyze each symbol:
    | Current value vs. target value
    | Deviation percentage
    | Action needed: BUY / SELL / HOLD
  |
  Is rebalancing needed?
    -> If ANY symbol deviation > RebalanceThreshold:
       |
       REBALANCING:
         For each symbol that needs adjustment:
           | Calculate lot size needed
           | If ActionRequired == "BUY":
           |   -> Open BUY position
           | If ActionRequired == "SELL":
           |   -> Close existing position
           |
         Update rebalanceCount
         Update lastRebalance timestamp
    |
    -> If all within threshold:
       Continue monitoring
  |
REPEAT until stopped
  |
END

💡 Visual Example¶

Portfolio: $10,000 across 4 symbols, 25% each

Initial State (Balanced)¶

Target Allocations:
+--------+----------+-------------+
| Symbol | Target % | Target $    |
+--------+----------+-------------+
| EURUSD |   25%    | $2,500      |
| GBPUSD |   25%    | $2,500      |
| USDJPY |   25%    | $2,500      |
| XAUUSD |   25%    | $2,500      |
+--------+----------+-------------+
Portfolio: BALANCED

After Market Moves (Unbalanced)¶

EURUSD rises +20%, USDJPY falls -15%

+--------+----------+-------------+-----------+-----------+--------+
| Symbol | Target % | Target $    | Current $ | Deviation | Action |
+--------+----------+-------------+-----------+-----------+--------+
| EURUSD |   25%    | $2,500      | $3,000    | +20%      | SELL   |
| GBPUSD |   25%    | $2,500      | $2,400    | -4%       | HOLD   |
| USDJPY |   25%    | $2,500      | $2,125    | -15%      | BUY    |
| XAUUSD |   25%    | $2,500      | $2,475    | -1%       | HOLD   |
+--------+----------+-------------+-----------+-----------+--------+
Portfolio: UNBALANCED

TRIGGER: EURUSD deviation (+20%) exceeds RebalanceThreshold (10%)
ACTION: Rebalancing needed!

After Rebalancing¶

Rebalancing Actions:
1. SELL $500 of EURUSD ($3,000 -> $2,500)
2. BUY $375 of USDJPY ($2,125 -> $2,500)

+--------+----------+-------------+-----------+-----------+--------+
| Symbol | Target % | Target $    | Current $ | Deviation | Action |
+--------+----------+-------------+-----------+-----------+--------+
| EURUSD |   25%    | $2,500      | $2,500    | 0%        | HOLD   |
| GBPUSD |   25%    | $2,500      | $2,400    | -4%       | HOLD   |
| USDJPY |   25%    | $2,500      | $2,500    | 0%        | HOLD   |
| XAUUSD |   25%    | $2,500      | $2,475    | -1%       | HOLD   |
+--------+----------+-------------+-----------+-----------+--------+
Portfolio: BALANCED

Used MT5Sugar Methods¶

1. GetOpenPositions¶

func (s *MT5Sugar) GetOpenPositions() ([]*pb.PositionInfo, error)

Purpose: Retrieves all currently open positions.

Usage in PortfolioRebalancer:

  • Called every CheckInterval
  • Calculates current exposure per symbol
  • Returns all positions for analysis

2. GetPositionsBySymbol¶

func (s *MT5Sugar) GetPositionsBySymbol(symbol string) ([]*pb.PositionInfo, error)

Purpose: Gets positions for a specific symbol.

Usage in PortfolioRebalancer:

  • Used when reducing exposure (SELL action)
  • Identifies positions to close
  • Returns positions filtered by symbol

3. BuyMarket / SellMarket¶

func (s *MT5Sugar) BuyMarket(symbol string, lots float64) (uint64, error)
func (s *MT5Sugar) SellMarket(symbol string, lots float64) (uint64, error)

Purpose: Opens market position at current price.

Usage in PortfolioRebalancer:

  • Called when increasing exposure (BUY action)
  • Opens new positions to restore target allocation
  • Returns ticket number

4. ClosePosition¶

func (s *MT5Sugar) ClosePosition(ticket uint64) error

Purpose: Closes specific position by ticket.

Usage in PortfolioRebalancer:

  • Called when reducing exposure (SELL action)
  • Closes positions to restore target allocation
  • Reduces over-allocated symbols

Configuration Profiles¶

Conservative Diversified¶

Allocations: map[string]float64{
    "EURUSD": 0.40,  // 40% major currency
    "GBPUSD": 0.20,  // 20% secondary
    "USDJPY": 0.20,  // 20% yen
    "XAUUSD": 0.20,  // 20% gold hedge
},
TotalExposure:      5000.0,           // Small portfolio
RebalanceThreshold: 5.0,              // Tight rebalancing
CheckInterval:      1 * time.Hour,    // Check hourly

Best for: Beginners, small accounts ($5k-$10k)

Balanced Equal-Weight¶

Allocations: map[string]float64{
    "EURUSD": 0.25,  // 25% each
    "GBPUSD": 0.25,
    "USDJPY": 0.25,
    "XAUUSD": 0.25,
},
TotalExposure:      10000.0,          // Medium portfolio
RebalanceThreshold: 10.0,             // Moderate
CheckInterval:      30 * time.Minute, // Every 30 min

Best for: Intermediate traders, medium accounts ($10k-$50k)

Aggressive Commodity-Heavy¶

Allocations: map[string]float64{
    "XAUUSD": 0.50,  // 50% gold (aggressive!)
    "EURUSD": 0.25,  // 25% euro
    "USDJPY": 0.25,  // 25% yen
},
TotalExposure:      20000.0,          // Larger portfolio
RebalanceThreshold: 15.0,             // Wider tolerance
CheckInterval:      1 * time.Hour,    // Hourly

Best for: Experienced traders, large accounts ($20k+)

Best Practices¶

Set Realistic TotalExposure¶

  • Don't use full account balance
  • Recommended: 30-50% of account
  • Leave buffer for drawdowns

Match CheckInterval to Trading Style¶

  • Day trading: 10-30 minutes
  • Swing trading: 1-4 hours
  • Position trading: 12-24 hours

Monitor Rebalancing Costs¶

  • Track: Number of rebalances × average spread
  • If costs > 2% of TotalExposure -> increase RebalanceThreshold

Use Uncorrelated Symbols¶

  • EURUSD + GBPUSD are highly correlated (both move together)
  • Better: Mix currencies + commodities (EURUSD + XAUUSD)

Combine with Risk Manager¶

  • PortfolioRebalancer manages allocation
  • RiskManager manages total drawdown
  • Together = complete risk control

When to Use¶

Good Use Cases¶

  • Multi-symbol trading systems (4-10 symbols)
  • Diversification strategy
  • Automated portfolio management
  • Risk control across symbols

Bad Use Cases¶

  • Single-symbol trading (no portfolio needed)
  • High-frequency trading (overhead too high)
  • Strong trending markets (cuts winners early)
  • Very small accounts (<$1,000)

Configuration Location¶

Runtime configuration is located in: examples/demos/main.go -> RunOrchestrator_PortfolioRebalancer()

This separation exists because:

  1. Code reusability: Same rebalancer runs with different symbol allocations

  2. Quick testing: Change allocations without modifying logic

  3. User examples: Shows how to configure portfolio

  4. Centralized entry point: Single place for all orchestrator launches