Hi all,
Two questions:
1. Attached is a screenshot of the position sizer. I want to make sure I'm understanding it correctly. The Percent of Volatility is the ATR multiplier right? Setting it to 3 means that my stop will be 3 x ATR (20 period) below the last close. The position size calculation is 10% of account equity / (Close - 3xATR)
2. Is it possible to have "minimum of" condition for position sizing? E.g. I want to evaluate two position sizes based on (a) 3xATR stop (b) stop at the lowest low of the last 20 days. Whichever results in the smaller position size is selected.
Thank you!
Two questions:
1. Attached is a screenshot of the position sizer. I want to make sure I'm understanding it correctly. The Percent of Volatility is the ATR multiplier right? Setting it to 3 means that my stop will be 3 x ATR (20 period) below the last close. The position size calculation is 10% of account equity / (Close - 3xATR)
2. Is it possible to have "minimum of" condition for position sizing? E.g. I want to evaluate two position sizes based on (a) 3xATR stop (b) stop at the lowest low of the last 20 days. Whichever results in the smaller position size is selected.
Thank you!
Rename
QUOTE:Didn't make it!
1. Attached is a screenshot of the position sizer.
QUOTE:The ATR number is the ATR period, not a multiplier. The calculation is simple, but not explained well. (I'll fix that.) It goes like this:
I want to make sure I'm understanding it correctly.
shareSize = (CurrentEquity * PercentOfVolatility) / ATR
If you checked the option at the bottom to limit to a % of equity, then the calculation above is ignored if it exceeds that limit.
Also remember that for signaling, the equity value comes from the brokerage account selected in the signals view if you enabled that Trading Preference.
QUOTE:Anything is "possible" but this sizer is not configured to perform that function. The options are to create your own Advanced PosSizer, or, perform the sizing function in the Strategy code by setting the Transaction.Quantity. However, if you do it the latter way, you lose broker integration function.
2. Is it possible to have "minimum of" condition for position sizing? E.g. I want to evaluate two position sizes based on (a) 3xATR stop (b) stop at the lowest low of the last 20 days. Whichever results in the smaller position size is selected.
Thanks for that. Ok so I definitely misunderstood that. I also forgot to attach the image, my mistake.
So the PercentOfVolatility is the percentage of equity at risk? Let's say equity is $100k, PercentOfVolatility is set to 0.5, and ATR is $10.
Share size = (100,000 * 0.005) / 10 = 50
The % equity limit then just checks if the value of those 50 shares exceeds the limit, if yes, then it passes on the trade.
Thank you!
QUOTE:
shareSize = (CurrentEquity * PercentOfVolatility) / ATR
So the PercentOfVolatility is the percentage of equity at risk? Let's say equity is $100k, PercentOfVolatility is set to 0.5, and ATR is $10.
Share size = (100,000 * 0.005) / 10 = 50
The % equity limit then just checks if the value of those 50 shares exceeds the limit, if yes, then it passes on the trade.
Thank you!
Mostly correct.
In no case is the trade "skipped". If you check "Cap position at X% of account equity" the size will just be reduced to that value.
QUOTE:"passes on" is an English idiomatic expression and can be taken 2 ways. It could mean either "skips" or "give something to someone that somebody else gave to you".
... then it passes on the trade
In no case is the trade "skipped". If you check "Cap position at X% of account equity" the size will just be reduced to that value.
Perfect thank you for that clarification. The position is downsized to fit the max % rather than skip the trade.
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