Assigning different % Equity for each position while rebalancing?
Author: rmikkili
Creation Date: 5/4/2017 9:29 PM
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rmikkili

#1
Hello,

I have read through many posts and looked through the wiki to find out how to assign different weights (or % of equity) to each position while rebalancing?

My strategy is a simple end of the month/week rotational strategy that assign different % of equity to each position.

For example:

Symbol 1: 27%
Symbol 2: 36%
Symbol 3: 37%

During the next rebalancing event, it will a completely different set of 3 symbols and the weights could be:

Symbol 4: 10%
Symbol 5: 56%
Symbol 6: 34%

Any pointers on How to code for this? Or is there a example strategy I could look at? I am bit surprised that this is not a common request...may be I am missing something very obvious.

Thanks for your kind help.
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Eugene

#2
Position Options comes to rescue.

First you assign a variable percent-equity value to the Position.Tag property in your Strategy code on a per symbol basis as exemplified on the Wiki page, then click the PosSizer's "Use .Tag" button to activate the option. To make sure % Equity is applied, make sure that the PosSizer's respective dropdown box next to "Use Tag" is showing "% Equity, not "Max % Risk".