Fixed Ratio PosSizer useful for trading stocks?
Author: richard1000
Creation Date: 3/11/2012 3:43 AM
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richard1000

#1
When I use Fixed Ratio PosSizer, the stock shares purchased is always one. I tried using different Deltas of 1, 10, 100, 1000, and 10000 with no change in shares purchased. Is Fixed Ratio PosSizer useful for trading stocks or is it just for Futures?
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Eugene

#2
Without restrictions. Method was designed for futures mainly but works for stocks as well. Needless to say, using standard settings I can't duplicate the issue.

Keep in mind: everything always works here on our end. You have to describe your setup to make me reproduce what you see. Here's a how-to:

How to report a Problem?
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richard1000

#3
My setup.

Stategy: Bollinger Band Width strategy (default parameters)
Scale and Range: Daily, 300 Bars.
DataSet: Dow 30

Starting Captial: 100000
Margin Factor: 1
PosSizer settings: Fixed Ratio
- Fixed Ratio Delta: 10000 (also tried 1, 10, 100, 1000, 100000)
- rest of the settings were set at default.

The shares purchased is always 1 regardless of the change in fixed ratio delta. So how do I change the share size?
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Eugene

#4
Then you most likely have Fidelity commissions enabled. Uncheck "Apply Commissions" in Wealth-Lab's Preferences and see how the trade size changes.

Rationale:

1. Fixed Ratio always starts with 1 contract (share).
2. Regardless of the profit gained, almost any commission plan (except Percent of Trade value and Per Share) is guaranteed to wipe away all the profits earned with just 1 share.
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richard1000

#5
But isn't it unrealistic to start with 1 share. Why not start with 100 shares (or $10000 of shares)?

Anyway, this PosSizer doesn't seem to be useful for trading stocks.
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Eugene

#6
Good question for Mr. Jones, the method's author. Maybe it's addressed in his book but I'm not sure (read it a decade ago).