PosSizer: assignment of trade priority
Author: sedelstein
Creation Date: 3/2/2014 7:51 AM
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sedelstein

#1
Hello Eugene

This question might have been asked before but I didn't find the answer in a search

I have been investigating the various position sizers and some are very intriguing.

I've noticed in the performance results that the total number of trades are often much lower than I might find in raw mode or if there is enough capital in the account. In addition, the trades get assigned a priority (in the Trades+ tab) that I didn't explicitly set.

Can you point me to a link that tells me how WL assigns these values? Is there an example where I can use a random number generator to assign them? I'd like to know that the position sizer isnt just picking the most profitable trades to get it's results.

Once again your patience is appreciated as this has probably been asked before
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Eugene

#2
Hi Steve,

According to the Wealth-Lab User Guide (Strategy Window > Backtesting Strategies > How Trades Are Chosen), a random value is assigned for priority by default. (Can be found by typing in "priority" in the User Guide > Search box).

You might also find this PosSizer interesting for testing purposes:

Random PosSizer