I worked a bit with WL7's advanced Position Sizers today.
And stumpled across these issues:
The names of the various posizion sizers in Strategy Settings->PositionSizers->Advanced Pos Sizers
differs from the names used in Help:
D-Var vs. D Va R
Kelly vs. Kelly Formula
Larry Williams vs. Larry Williams Method
Meritocratus vs. ???
Random vs. Random Size
Spread Equity Equally vs. ?? Equal Exposure ??
Winning/Losig Streaks vs. Winnig & Losing Streaks
Max. Entries per Bar vs. ???
As you can see this may create confusion...
Also, with the 'percent Volatility' Position Sizer:
The text talks about "market volatility" whereas the algorithm uses "Symbol Volatility" or even more precise "ATR of Symbol"
* What is the exact formula used? I tried to reverse engineer, but there is some magic involved... and should be documented.
* The text mentions a cap of position sizes. But there is no option to specify the cap.
Also, with the D-Var Position Sizer:
* What is the exact Formula used? The text mentions the ingrediens but not the complete formula.
* I can't select a risk% below 0.1% but I want to...
Also, I think it would be beneficial if these parameters are optimizable. I.e if there was a checkbox: "Include this parameter in the set of optimizer variables"
And stumpled across these issues:
The names of the various posizion sizers in Strategy Settings->PositionSizers->Advanced Pos Sizers
differs from the names used in Help:
D-Var vs. D Va R
Kelly vs. Kelly Formula
Larry Williams vs. Larry Williams Method
Meritocratus vs. ???
Random vs. Random Size
Spread Equity Equally vs. ?? Equal Exposure ??
Winning/Losig Streaks vs. Winnig & Losing Streaks
Max. Entries per Bar vs. ???
As you can see this may create confusion...
Also, with the 'percent Volatility' Position Sizer:
The text talks about "market volatility" whereas the algorithm uses "Symbol Volatility" or even more precise "ATR of Symbol"
* What is the exact formula used? I tried to reverse engineer, but there is some magic involved... and should be documented.
* The text mentions a cap of position sizes. But there is no option to specify the cap.
Also, with the D-Var Position Sizer:
* What is the exact Formula used? The text mentions the ingrediens but not the complete formula.
* I can't select a risk% below 0.1% but I want to...
Also, I think it would be beneficial if these parameters are optimizable. I.e if there was a checkbox: "Include this parameter in the set of optimizer variables"
Rename
QUOTE:
D-Var vs. D Va R
That's how WL's automatic transcription of .MD file works. Sounds like it may benefit from an improvement. And this comes somewhat related to one of your other feature requests i.e. improving the titles:
https://www.wealth-lab.com/Discussion/Extend-Help-System-for-Extensions-6122
QUOTE:
The text talks about "market volatility" whereas the algorithm uses "Symbol Volatility" or even more precise "ATR of Symbol"
Market = symbol = stock = security = instrument = equity = tradable. All are synonyms, nothing needs fixing.
QUOTE:
* What is the exact formula used? I tried to reverse engineer, but there is some magic involved... and should be documented.
Good to know that magic still stands ;) We dot not disclose the exact formula but implementation follows the documentation.
QUOTE:
Spread Equity Equally vs. ?? Equal Exposure ??
Right. In the documentation, the title has it both ways: "Equal Exposure (Spread Equity Equally)". It's the only name I find to be a bit confusing but let's leave the PosSizer's name as is ("Spread Equity Equally") for now to avoid a breaking change.
QUOTE:
* What is the exact Formula used? The text mentions the ingrediens but not the complete formula.
This is an algorithm that is not disclosed. Implementation here follows the text, too.
QUOTE:
* I can't select a risk% below 0.1% but I want to...
I'm afraid that GenerateParameters won't let me do it.
QUOTE:
Also, I think it would be beneficial if these parameters are optimizable. I.e if there was a checkbox: "Include this parameter in the set of optimizer variables"
Since this relates not to the PowerPack but to WL7 per se, you might want to create a new feature request.
>>I'm afraid that GenerateParameters won't let me do it.<<
What is stopping you from setting a smaller step value and minimum?
What is stopping you from setting a smaller step value and minimum?
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