- ago
Eugene:
Topic extracted from here: https://www.wealth-lab.com/Discussion/9377

QUOTE:
he correct answer is: You should not replace it! Buy the finatic.Indicators extension instead.


Is there any documentation of the included positionizers?
On the website I have found only information about indicators. Overall, a video about the extensions, for example, would certainly be an advertising medium that should not be underestimated.
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- ago
#1
The PosSizer "Max Risk Pct Limited to Pct of Equity" will be included in the next build of finantic.Indicators.
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- ago
#2
QUOTE:
The PosSizer "Max Risk Pct Limited to Pct of Equity" ...

Was the design of this PosSizer inspired by Laurens Bensdorp's book Automated Stock Trading Systems? Just curious.

I don't use PosSizers myself, but that's only because they add a complexity to the strategy I'm not ready to factor in as yet. I do think they are worthwhile. I view PosSizers much like the MIT Blackjack team; the size of the bet is a function of the risk/reward ratio (or card count). If the reward is high and the risk (i.e. volatility of returns) is low, you increase your bet size.
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- ago
#3
QUOTE:
Was the design of this PosSizer inspired by Laurens Bensdorp's book....?

Yes. I added this Position Sizer to the finatic.Indicator extension. Should become
available tomorrow.

And yes, theses PosSizer strategies make a very noticable difference. A portfolio-level trading strategy uses the benefits of diversification (across symbols). And these benefits are maximized, if each component adds the same amount of "noise" i.e. "volatility of returns".
It is possible to optimize this balance by optimizing the position sizes for each component - exactly what a PosSizer does which is based on volatility or "risk".
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