PosSizer that allows for adjustment based on win rate percentage
Author: mikesblack
Creation Date: 1/13/2016 12:44 PM
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mikesblack

#1
Hi Eugene,
Searching through the position sizers I couldn't find exactly what I'm interested in. I would like to adjust my position percentage of equity based on the percentage of wins. E.g., If the win rate is < 40 increase position size and if win rate is > than 60 decrease position size. Is it possible for you to build such a sizer?

In addition, what can I do to build my own sizer to share with the community?

Thanks,
Mike

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mikesblack

#2
I realize there is a sizer that allows for an increase based on Win rate greater than some number; however I wish to do both reduce and add respectively when some win percentage is reached, both high and low using a lookback as per the "trades graph rolling performance metrics". It might also be interesting to include profit factor as an option.
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Eugene

#3
Hi Mike,

Actually, this PosSizer does fluctuate the percentage both ways: Percent Winners position sizing (% Equity). However, it does the opposite of what you're after: increases with rising win rate and decreases when it drops (anti-Martingale in principle).

The logic you request is not conventional and is more like Martingale. There's no exact PosSizer in our collection but you might find others in the same group to play with:

Drawdown / Runup - reduce size on portfolio runup and vice versa
ROR as Benchmark - increase size on positive equity change
Trade Outcome - combine winning/losing streaks together
Losing Streaks - increase after losing streaks (only)


QUOTE:
In addition, what can I do to build my own sizer to share with the community?

A good start is to search the forums. Questions like this have been raised many times. That's why there's an open source PosSizer demo project in the Wiki. Also, there's a pointer to PosSizer API manual.
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mikesblack

#4
Thanks Eugene, I'll get started and let you know what I come up with.

BTW: Throughout my 3 terms in C# I have become familiar with console and windows based apps. As I am now getting back into developing trading systems, I am trying to understand the application of C# in Wealth Lab. Can you suggest how I might merge my knowledge using Visual Studio with Wealth Lab? // P.S. Perhaps this should asked be a new forum subject.
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Eugene

#5
Mike,

Nice to hear that you're making good progress with studying C#. Please feel free to ask this question in another thread, be it an existing one (I'm sure there have been lots of topics dealing with VS) or new.