PosSizer to limit the number of trades per industry?
Author: mikesblack
Creation Date: 3/8/2016 8:21 PM
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mikesblack

#1

3/8/2016 8:21 PM

Some issues surrounding draw downs happens when I am overloaded in a market sector. Can a Position Sizer be implemented that would limit the number of trades per industry? Alternatively, I could sub divide the S and P 500 into multiple files, but this would be a tedious process.
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Eugene

#2

3/8/2016 8:40 PM

I've answered a similar question a couple of weeks ago. Hopefully this information may come in handy in your PosSizer development:

Portfolio allocation based on asset class and sector limits
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