Limiting exposure in a portfolio?
Author: mikesblack
Creation Date: 8/25/2009 7:44 PM
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mikesblack

#1
I need to know how to limit the number of open positions or the % of total equity in a multi stock system. The orders are all market orders. Can you help me out with this? Thanks
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Eugene

#2
Sorry, unless your strategy is rewritten in a symbol rotation fashion, knowing the number of open positions in a portfolio will probably have to wait Version 5.6 (PosSizers required).
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mikesblack

#3
Hope it doesn't seem like I've asked you the same question as from the prior post. Just to be sure, I am looking to limit overall exposure rather than necessarily limiting position size. So even having positions % equity constant(e.g. 10%), if the account is worth $100,000.00, I'd want to limit trading to for example no more than $50,000.00. You may have already answered that above, so please forgive me if I'm being thick.
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Cone

#4
Well, you can start with $50K, but if the account gets bigger, you'll still have to wait for PosSizers.

PosSizers will allow you to create a "strategy for Position Sizing". You won't have to change your Strategy code, but in the PosSizer, you'll have logic that says "the sum of all my Positions is $50K, it's time to start rejecting new entries until the current Positions lose value or until some are exited."
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mikesblack

#5
What seems to work best for modeling volatility? I'm not sure if using some time range of ATR , projection bands, roc, or using std. deviation of those is better. Any ideas on that? Intuitively, I see daily roc and guesstimate the sort of loss or gain I can expect. I kind of think seeing + or- 2% over a time (a bit) prior gets 5 times +- 10% or reverse. I've been racking my brain on this but it just spins and spins.
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Eugene

#6
I could have thought of a way to work with exposure within the "interacting with equity curve" framework, but I'm afraid the code would not be very clear and robust. Let's all wait for PosSizers.
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mikesblack

#7
Thanks Eugene- You guys have been great. I appreciate all of your help.. Mike
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