Hello.
In the Help says that Portfolio Weight controls the portion of equity on each individual strategy. How does it compares with individual strategy's positio size? I a scenario of excess of equity (cash) each strategy size is controlled by each Position Sizing? Example: cash is $ 100000, metastrategy is composed by 10 individual strategies and position size is less than $ 1000 for each. In this case is sizing controlled by each individual position size, in this case metastrategy results are comparable with the sum of each strategies results? and in case of the sum of each individual sizes is larger than total equity, is sizing controlled by the Portfolio Weight?
I am running a metastrategy of several individual strategies, each one is single position, each Portfolio Weight is 1, the sum of all individual sizes is less than 10% of equity: profit results are similar between metastrategy and the sum of each individual, but % of profitable positions in the metastrategy is 3 % while on each individual is between 49% and 75% being P50=56%. Why this discrepancy on % of profitable positions? I also noted that NSF is higher in the metastrategy even though the sume of the individual position sizes is less than 10% of equity.
Thank you in advance, your answers will help to better understand this valuable tool.
In the Help says that Portfolio Weight controls the portion of equity on each individual strategy. How does it compares with individual strategy's positio size? I a scenario of excess of equity (cash) each strategy size is controlled by each Position Sizing? Example: cash is $ 100000, metastrategy is composed by 10 individual strategies and position size is less than $ 1000 for each. In this case is sizing controlled by each individual position size, in this case metastrategy results are comparable with the sum of each strategies results? and in case of the sum of each individual sizes is larger than total equity, is sizing controlled by the Portfolio Weight?
I am running a metastrategy of several individual strategies, each one is single position, each Portfolio Weight is 1, the sum of all individual sizes is less than 10% of equity: profit results are similar between metastrategy and the sum of each individual, but % of profitable positions in the metastrategy is 3 % while on each individual is between 49% and 75% being P50=56%. Why this discrepancy on % of profitable positions? I also noted that NSF is higher in the metastrategy even though the sume of the individual position sizes is less than 10% of equity.
Thank you in advance, your answers will help to better understand this valuable tool.
Rename
I don't follow what you're saying about the sizes, but I think it's a lot simpler than you're making it out to be.
The Total Equity is set in Strategy Settings - say $100,000
Strategy 1 - Portfolio Weight = 1, 25%
Strategy 2 - Portfolio Weight = 1, 25%
Strategy 3 - Portfolio Weight = 1, 25%
Strategy 4 - Portfolio Weight = 1, 25%
Each strategy will start with $25K. The sizing is whatever you select for each individual strategy. If it's 100% for each strategy, the initial size for each strategy's first Position is $25,000. Clear?
If you still have a question, please post an image as an example to discuss.
The Total Equity is set in Strategy Settings - say $100,000
Strategy 1 - Portfolio Weight = 1, 25%
Strategy 2 - Portfolio Weight = 1, 25%
Strategy 3 - Portfolio Weight = 1, 25%
Strategy 4 - Portfolio Weight = 1, 25%
Each strategy will start with $25K. The sizing is whatever you select for each individual strategy. If it's 100% for each strategy, the initial size for each strategy's first Position is $25,000. Clear?
If you still have a question, please post an image as an example to discuss.
Thanks for that explanation in Reply# 1. After reading that, I would change the name from "weight" (which is ambiguous) to "relative equity allocation".
I mistakenly thought this "weight" for a strategy had something to do with Transaction.Weight used by a strategy. But clearly we are talking about two different weight parameters here.
I mistakenly thought this "weight" for a strategy had something to do with Transaction.Weight used by a strategy. But clearly we are talking about two different weight parameters here.
I hear you, but we're adjusting a 'weight' integer value; the resulting 'allocation' is given as a percentage to the right of that.
QUOTE:
we're adjusting a 'weight' integer value; the resulting 'allocation' ...
It's a semantic (language) problem. You're using "weight" for too many different things in the same application, which is inherently confusing. Perhaps adding a ToolTip so when you mouseover "weight" it says "relative equity allocation" so users aren't confused by the duplicated semantics.
But your explanation in Reply# 1 is clear. Maybe the Help documentation needs to elaborate better so users aren't searching the forum trying to resolve the confusion.
Your Response
Post
Edit Post
Login is required