Is it possible to change Capital ?
And set different Capital for different symbol-s
When I try to set in Initialize(...) this.Backtester.CurrentEquity = myCapital; Capital is not changed, not in interface nor in the Metrics report
And set different Capital for different symbol-s
When I try to set in Initialize(...) this.Backtester.CurrentEquity = myCapital; Capital is not changed, not in interface nor in the Metrics report
Rename
You can't affect the Capital/Equity except by trading. Set the capital you want for the backtest in the Settings. Maybe you should tell us why using the Settings page is too inconvenient to configure the settings. Probably there's an easier way to do whatever you're trying to do.
For example I have 100 000 EUR and I have 4 instruments.
I want allocate for example :
- US30 : 10 000
- US100 : 30 000
- US500 : 20 000
- DE30 : 20 000
- and the remaining capital : 20 000
Different instruments have different risk rate (volatility, country-politics etc.)
So is it possible to set different capital for different instruments ? When yes , how ?
I want allocate for example :
- US30 : 10 000
- US100 : 30 000
- US500 : 20 000
- DE30 : 20 000
- and the remaining capital : 20 000
Different instruments have different risk rate (volatility, country-politics etc.)
So is it possible to set different capital for different instruments ? When yes , how ?
QUOTE:
Different instruments have different risk rate
Yes. So you should invest a different fraction of your available capital in each instrument.
This is the position size and/or number of open positions. You should set the position size of a trade dependent on the risk of this trade i.e. the risk profile of the instrument.
Similar with the number of open positions.
There are various methods to do so:
1) use a volatility based position sizer
2) set position size in code as a function of instrument name.
3) use WL's settings to limit number of open positions
4) control number of open positions in code
Since you only have four instruments, you can create a separate strategy (seperate position sizer, capital ...) for each symbol. Then you can change the capital as you like without affecting other instruments. Just my 2 cents.
Since you think the symbols have very different properties, it makes even more sense to test them separately.
Since you think the symbols have very different properties, it makes even more sense to test them separately.
5) MetaStrategy
QUOTE:
5) MetaStrategy
Hi Eugene.
I thought about that for a moment too. But I am not sure if it is ideal in this case, because the strategy itself is identical. The correaltion evaluation doesn't make so much sense (at first). But yes, ultimately the capital can be distributed and balanced differently.
And in the end, you also create one (the same) strategy per symbol this way too.
QUOTE:
I have 4 instruments.
Are this single index series or different DataSets (with several symbols in each dataset)?
If you run strategies on different DataSets I'd also vote for
QUOTE:
5) MetaStrategy
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