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What you could do is to apply the methods of portfolio risk analysis. If you buy $n$ stocks with percentages $w_i,i=1,\ldots,n$ then your portfolio return is $r = \sum_{i=1}^n w_i r_i$. Dealing with investment strategies I would not include an expected profit in the VaR calculation and put $\mu=0$ for this reason. To calculate the volatility of your ...
If the returns are $N(\mu,\Sigma)$ distributed, then $WML\sim N(0,\sigma)$, because the equally-weighted $\mu$'s cancel while $\Sigma=\sqrt{w \Sigma w'}$ with $w=\{1/n...1/n\}$. So your new VaR becomes: $$\mbox{VaR}\left(\alpha\right)_{WML}=\Phi^{-1}\left(\alpha\right)\cdot\sigma$$ Your sampling formula from above remains still valid though, just with ...