Divide capital equally between variable number of signal occurrences
Author: gboardnvidia
Creation Date: 11/5/2016 5:16 PM
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gboardnvidia

#1
Hello,

I am working on a gap buy strategy and would like to dynamically divvy up a set amount of capital between how many times the gaps occur on that day. For example, if 7 gaps occur, divide 25000 by 7, and round down to the nearest $5 to prevent going over the capital. On the same toke, if 20 gaps occur, divide 25000 by 20 and enter each position equally.

Is this possible via a PosSizer script?

Thanks!
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Eugene

#2
Welcome aboard.

Yes, this is possible via the PosSizer approach (although they are not exactly scripts but rather compiled libraries i.e. DLLs). We've created two PosSizers to spread the available equity between trade candidates:

Spread Equity Equally
Graded equity percentage

They're members of the MS123 PosSizer Library which is downloadable after verification of your Fidelity account. To do this, please create a support ticket.

P.S. One thing that won't be possible with the current WLP version is that due to live issue #62853, the PosSizers may not work correctly for Alert sizing. For backtesting it's OK though.
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gboardnvidia

#3
Thank you!