Build 1 of finantic .PositionSize contains four position sizers:
* BuyAndHold
* VolaEqualizerAtr
* VolaEqualizerEx
* PositionTagPercent
BuyAndHold position sizer
This position sizer helps to improve your trading strategy through the selection of a portfolio. After all, the performance of your trading strategy is a combination of the BuyAndHold performance of the underlying portfolio and the performance of your trading logic. Use this position sizer with the BuyAndHold strategy to gauge the performance of various portfolios.
VolaEqualizerAtr and VolaEqualizerEx position sizers
These position sizers help to smooth the equity curve of your trading strategy and improve Risk/Reward ratios.
How That?
Some background: Diversification relies on three ingredients:
1. Several TimeSeries. (in our case symbols in the portfolio)
2. Similar Volatility in each TimeSeries (in our case similar volatility in the equity curves of individual symbols)
3. Low correlation between the TimeSeries (in our case Positions and their contributions to the equity curve)
The position sizers work with ingedient 2.) They strive to produce equal volatility in individual equity curves by adapting position sizes to the current volatility.
VolaEqualizerAtr measures current volatility with the ATR indicator.
VolaEqualizerEx measures Volaitility by a selectable (aka arbitrary) indicator.
As long as the profit of an individual positions depends on volatility (as is the case with most trading strategies) these position sizers will have positive effects on the overall performance of your trading strategy.
PositionTagPercent
This position sizer reads the "PercentOfEquity" value from a formula created and calculated by your C# Coded Strategy.
This opens the door for arbitrary interesting/advanced/complex position sizer algorthms that are fully optimizable.
For details see https://wealth-lab.com/extension/detail/finantic.PositionSize
* BuyAndHold
* VolaEqualizerAtr
* VolaEqualizerEx
* PositionTagPercent
BuyAndHold position sizer
This position sizer helps to improve your trading strategy through the selection of a portfolio. After all, the performance of your trading strategy is a combination of the BuyAndHold performance of the underlying portfolio and the performance of your trading logic. Use this position sizer with the BuyAndHold strategy to gauge the performance of various portfolios.
VolaEqualizerAtr and VolaEqualizerEx position sizers
These position sizers help to smooth the equity curve of your trading strategy and improve Risk/Reward ratios.
How That?
Some background: Diversification relies on three ingredients:
1. Several TimeSeries. (in our case symbols in the portfolio)
2. Similar Volatility in each TimeSeries (in our case similar volatility in the equity curves of individual symbols)
3. Low correlation between the TimeSeries (in our case Positions and their contributions to the equity curve)
The position sizers work with ingedient 2.) They strive to produce equal volatility in individual equity curves by adapting position sizes to the current volatility.
VolaEqualizerAtr measures current volatility with the ATR indicator.
VolaEqualizerEx measures Volaitility by a selectable (aka arbitrary) indicator.
As long as the profit of an individual positions depends on volatility (as is the case with most trading strategies) these position sizers will have positive effects on the overall performance of your trading strategy.
PositionTagPercent
This position sizer reads the "PercentOfEquity" value from a formula created and calculated by your C# Coded Strategy.
This opens the door for arbitrary interesting/advanced/complex position sizer algorthms that are fully optimizable.
For details see https://wealth-lab.com/extension/detail/finantic.PositionSize
Rename
This extension emerged from a series of lectures I gave in January and February 2025 on Developing Trading Strategies.
If you are interested in such lectures write to https://thomasvittner.com/
If there is enough demand we could arrange for more lectures in german or english.
If you are interested in such lectures write to https://thomasvittner.com/
If there is enough demand we could arrange for more lectures in german or english.
Suggestion:
In your trading strategy replace the "PercentOfEquity" position sizer by the "VolaEqualizerATR". You could enjoy better Risk/Reward ratios immediately.
Probably you have to adjust the RiskPercent a little bit to arrive at the same APR or MaxDD.
My students reported that this works for most strategies, albeit not every strategy.
So probably you have to try it with another one.
In your trading strategy replace the "PercentOfEquity" position sizer by the "VolaEqualizerATR". You could enjoy better Risk/Reward ratios immediately.
Probably you have to adjust the RiskPercent a little bit to arrive at the same APR or MaxDD.
My students reported that this works for most strategies, albeit not every strategy.
So probably you have to try it with another one.
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