Optimize number of symbols / position size in Rotation Strategy?
Author: Swissi
Creation Date: 1/15/2018 9:59 AM
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Swissi

#1
Optimization

Using a rotation strategy, it probably makes sense to use the Portfolio Simulation Mode and not the Raw Profit Mode. For example, if I just invest in the top 3 symbols, I would use 33% of equity.

But: Can I really use the optimization tool to find out the optimal number of symbols? I see a problem, because with one symbol I have to use 100% of equity, with 2 symbols 50% and so on...
Does the "Percent of Equity" remain unchanged in a optimization?
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Eugene

#2
Actually, your question can be rephrased and answered by this FAQ: "Is it possible to optimize a PosSizer?" - where the PosSizer stands for "percent equity". Consequently as suggested by the FAQ, it's likely that the Position Options PosSizer from MS123 PosSizers can be used to allocate a custom % equity to a rotation Strategy. To achieve this you have to:

1. add a simple condition to your Strategy to determine the correct % equity based on the current value of the Strategy parameter (i.e. "n Symbols"):

CODE:
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Make sure to provide a sufficient leeway i.e. do not choose 100% equity for 1 symbol, 50% equity for 2 symbols etc.

2. pass this value to the LastPosition.Tag:

CODE:
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3. select "Position Options"

4. activate "Use .Tag" and "% Equity" nearby