Adjust position size based on equiry drawdown?
Author: wouterv
Creation Date: 9/28/2009 5:11 AM
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wouterv

#1
Hi,

I'm evaluating Weath-Lab developer 5.4 (downloaded it a couple of days ago), nice product! There is one aspect I can't find anything on though: Decreasing position size based on drawdown. So when the current equity is 80% of the latest equity high, I would like to resize my positions to 80% of the normal risk.

I found this post and answer:

QUOTE:

sacsharma
4/18/2008 1:24 PM

Wealth-Lab Pro 4.3

How can I adjust position size based on equity drawdown?
I wish to reduce my position size by half if drawdown exceeds say 20%. Is this possible?
Cone
4/18/2008 1:58 PM

Of course it's possible and very simple using a SimuScript. Just look at the example for DrawDownPct in the QuickRef.


But then I search for SimuScript and find this disturbing little snippet:

QUOTE:

PosSizer

This sizing option, formerly known as SimuScripts, will be implemented in a future release.


So it's not supported anymore?

Regards
Wouter
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Eugene

#2
Hi Wouter,

Your understanding is correct: decreasing position size based on drawdown -- just as many other creative ways to interact with portfolio equity to size positions -- will be possible to implement with PosSizers. As you may know, WLD5 is a complete rewrite of the product under the .NET framework, and its remaining functionality is released in phases. Thus, PosSizers will be delivered in Version 5.6.
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wouterv

#3
And now the logical follow up question:

When will 5.6 be available?

Wouter
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Eugene

#4
Fidelity does not publish its ETA dates, but chances are it could happen somewhere close to the year-end.
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wouterv

#5
Ok thanks for your swift replies.

Clear and bummer :-(

Perhaps you should reconsider this faq entry:

QUOTE:

Is it possible...?
The answer to this question is almost invariably, "yes". If "yes" is not the answer that you're looking for, then you didn't ask the right question!


Wouter
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Eugene

#6
Well, it's not too long, and you may be sure that this functionality will appear.

Developer 5.5 is almost at the door and it will have the SetShareSize method to assign a fixed number of shares/contracts per position. Since you can already access the portfolio equity using a technique in this Wiki article, together with SetShareSize it will be possible to approximate decreasing position size before PosSizers.