In WL6, the percent volatility pos sizer had a cap position at x% of equity value that could be assigned. WL7 does not have that, so it could mean that out of 10 positions the % equity assigned could be much greater than 10% for each symbol (depending on volatility).
How does WL7 handle this? Does WL7 take 100% equity and then prorate each individual % volatility equity throughout the 100% allotted? Or does WL7 assign weight to the higher equity %'s which get the available equity first?
How does WL7 handle this? Does WL7 take 100% equity and then prorate each individual % volatility equity throughout the 100% allotted? Or does WL7 assign weight to the higher equity %'s which get the available equity first?
Rename
Since such option is clearly out of scope for the percent volatility sizing we decided to not include it there. If applied, it should be done in a more general fashion. The place which may fit this and related risk management options is the Strategy's "Position Sizing" control, below the Max Open options. Marking the topic as FeatureRequest for later review.
However, for now you probably can cap the quantity in C# code (as you're already familiar with)?
https://www.wealth-lab.com/Discussion/Current-Equity-and-Quantity-7401
https://www.wealth-lab.com/Discussion/Current-Equity-and-Quantity-7401
Thanks Eugene, can you elaborate on how WL7 handles the % equity currently without the cap?
QUOTE:
The place which may fit this and related risk management options is the Strategy's "Position Sizing" control, below the Max Open options.
We decided that it's not in the cards for now. So let's add back the "Cap size at X% equity" option to the PosSizer. Activated for PowerPack B24.
It's ready in PowerPack B24:
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