As I can see "Equal Exposure (Spread Equity Equally)" PosSizer in the PowerPack is sharing equity between positions.
As total sum of limit orders is often limited by your capital (according to margin factor), that's how it works for Russian market, I would like to have a similar PosSizer, but sharing the capital between signals, not positions.
E.g., you have 10K capital, 10 signals, you set 10 limit order, but you get only 2 positions (because the price didn't touch 8 of orders). "Equal Exposure (Spread Equity Equally)" will give 5k to every of two executed orders. I would like there were 1K for every of 10 orders in this case
.
As total sum of limit orders is often limited by your capital (according to margin factor), that's how it works for Russian market, I would like to have a similar PosSizer, but sharing the capital between signals, not positions.
E.g., you have 10K capital, 10 signals, you set 10 limit order, but you get only 2 positions (because the price didn't touch 8 of orders). "Equal Exposure (Spread Equity Equally)" will give 5k to every of two executed orders. I would like there were 1K for every of 10 orders in this case
.
Rename
The PosSizer operates on the list of signals that are being processed (sized) on this bar of the simulation i.e. a List of Transaction called Candidates:
https://www.wealth-lab.com/Support/ExtensionApi/PositionSizer
https://www.wealth-lab.com/Support/ExtensionApi/PositionSizer
Yes, you are right!
I made some test before starting this topic. The reasons why I was misled was:
- Although there were 50 tickers in the dataset, not all them had history in 2000 where first trades started.
- I use my custom function to make my trades more realistic for low liquidity tickers and for bad data. The funtion looks ahead, and it didn't emit any order if next bar price was never lower than order price (for long). I fixed that.
I made some test before starting this topic. The reasons why I was misled was:
- Although there were 50 tickers in the dataset, not all them had history in 2000 where first trades started.
- I use my custom function to make my trades more realistic for low liquidity tickers and for bad data. The funtion looks ahead, and it didn't emit any order if next bar price was never lower than order price (for long). I fixed that.
Your Response
Post
Edit Post
Login is required