Greetings,
I have a few basic questions about the Position Size feature. The help documentation only provided the following information.
The "Percent of Equity" money management method allows you to determine the position size based on a percentage of your total account equity. This method helps you control the risk and exposure of your trades by allocating a specific portion of your equity to each trade.
Let me explain my question using an extreme example:
I set the Percent of Equity to 20%. This means that from a dataset, 5 positions are initially purchased at approximately 20,000 each (starting capital 100,000). Let's assume 4 of these positions increase by 50% each, while the last position decreases by 25% and is then to be sold AND replaced based on my other algorithm settings. My question is how this 20% of Equity is calculated. In my example, the 4 "good" positions would have increased from an initial 20,000 to 30,000 (50% performance). With the poor performance of the stock, the initial investment of 20,000 has decreased to 15,000 (a 25% loss). The system then sells this stock, leaving 15,000 available for re-entry. The fact is, my system isn't investing these remaining 15,000. I can only assume this is because the 20% of equity is calculated based on total capital. My total capital is 135,000 (4 x 30,000) that is still invested, plus the 15,000 from stock number 5. If 20% of these 35,000 are taken, the 20% of equity would be 27,000. However, I only have 15,000 available to buy. Is that why the system isn't buying? This would mean the 15,000 is just sitting there unused, or is there a better approach for this scenario than using percentage of equity?
If this is as I suspect, I'd like to ask... I have two more questions:
1. How do I configure the system to reinvest the available funds after each sale? Is there a setting for this, or is it only possible through code?
2. Is there an indicator for building blocks that keeps my position sizes at N% (e.g., a purchased asset should never exceed 30% of the total portfolio, essentially a "sell when it gets too large" command)?
Happy New Year and thanks in advance!
I have a few basic questions about the Position Size feature. The help documentation only provided the following information.
The "Percent of Equity" money management method allows you to determine the position size based on a percentage of your total account equity. This method helps you control the risk and exposure of your trades by allocating a specific portion of your equity to each trade.
Let me explain my question using an extreme example:
I set the Percent of Equity to 20%. This means that from a dataset, 5 positions are initially purchased at approximately 20,000 each (starting capital 100,000). Let's assume 4 of these positions increase by 50% each, while the last position decreases by 25% and is then to be sold AND replaced based on my other algorithm settings. My question is how this 20% of Equity is calculated. In my example, the 4 "good" positions would have increased from an initial 20,000 to 30,000 (50% performance). With the poor performance of the stock, the initial investment of 20,000 has decreased to 15,000 (a 25% loss). The system then sells this stock, leaving 15,000 available for re-entry. The fact is, my system isn't investing these remaining 15,000. I can only assume this is because the 20% of equity is calculated based on total capital. My total capital is 135,000 (4 x 30,000) that is still invested, plus the 15,000 from stock number 5. If 20% of these 35,000 are taken, the 20% of equity would be 27,000. However, I only have 15,000 available to buy. Is that why the system isn't buying? This would mean the 15,000 is just sitting there unused, or is there a better approach for this scenario than using percentage of equity?
If this is as I suspect, I'd like to ask... I have two more questions:
1. How do I configure the system to reinvest the available funds after each sale? Is there a setting for this, or is it only possible through code?
2. Is there an indicator for building blocks that keeps my position sizes at N% (e.g., a purchased asset should never exceed 30% of the total portfolio, essentially a "sell when it gets too large" command)?
Happy New Year and thanks in advance!
Rename
QUOTE:This is the way.
because the 20% of equity is calculated based on total capital
QUOTE:Better? Maybe. Different? For sure - just about anything you can think of can be put into a custom Position Sizer. There are a few Advanced Sizers out-of-the-box, but many more in the Power Pack. I thought there was a % of Equity Sizer that had an option to use "what's left", but I can't put my finger on it. It might be in a 3rd party (finantic) extension.
is there a better approach for this scenario than using percentage of equity?
QUOTE:Answered, but you can forego using Position Sizers altogether by assigning a Quantity of shares to a Transaction in the Strategy. That overrides any Position Sizer selected.
1. How do I configure the system to reinvest the available funds after each sale? Is there a setting for this, or is it only possible through code?
QUOTE:See Rebalance() in the QuickRef.
2. Is there an indicator for building blocks that keeps my position sizes at N% (e.g., a purchased asset should never exceed 30% of the total portfolio, essentially a "sell when it gets too large" command)?
@Cone
Then I interpreted everything correctly, haha.
Thank you for your reply. Could you explain the "Quantity of shares" in a little more detail? I'm having a brain freeze.
Then I interpreted everything correctly, haha.
Thank you for your reply. Could you explain the "Quantity of shares" in a little more detail? I'm having a brain freeze.
Look up the Transaction class in the QuickRef, then click on the Quantity property.
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