"Max Entries Per Day" with Intraday Strategy
Author: ttarlton
Creation Date: 12/15/2014 4:14 AM
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ttarlton

#1
Hi, I am wondering if it is possible to put a limit on the maximum entries allowed per day for a strategy that uses intraday bar data? it seems like the "Max Entries Per Day" option in the PosSizer does this by bar and not by day, so it does not produce the results desired. My strategy also trades a list of stocks so I dont think it is possible to control this in the strategy code?

Thanks for any advice,
Tom

**EDIT: Sorry, I just found that using the "Position Options" option, the max entries per day could be controlled even for intraday strategies.
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Eugene

#2
Hi,
You're right, the built-in "Max Entries Per Day" PosSizer does this bar by bar. We developed a PosSizer that does what you request:

Position Options

QUOTE:
Cap maximum entries per day. For intraday trades, it sums up positions taken during the day.


It's part of a downloadable extension called MS123 PosSizer Library.