Custom PosSizer request
Author: abegy
Creation Date: 6/3/2011 5:21 AM
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abegy

#1
Regarding my trader experience, I would like to suggest you to redesign the way that Possizer has been implemented at this time in Wealth-Lab.

You have developed a basic position sizer screen where you can define a fixe dollar/share investment or a size based on risk/equity.

Based on member suggestions, you have created a library where you can find strategies to “optimize trade size” depending of criteria (pct winning, Kelly…).

The problem that I see is that every libraries have not same options to manage trade limits developed on “Possizer Options”.

It’s really petty because source code is not opensource so I’m unable to take logic of Kelly sizer and mix it with Possizer Options and/or my Possizer Portfolio strategy.

When I trade, I follow this logic :
- Check Position filters
o Priority
o Alert
- Check trading limits
o Max open position
? Long
? Short
o Max positions per day / per week / per month
? Long
? Short
- define Optimal size for my trade (with Kelly…) ? specific script coding here
- Adjust size depending of liquidity limits
o maximum volume to not take liquidity of the market
o maximum investment (option : cancel, force maximum amount, split position, or do nothing)
- Adjust size depending of symbol limits
o Max open position per symbol
? Long
? Short
o Maximum total volume in portfolio (option : stock average volume)
o Maximum total amount in portfolio (option : %portfolio, fixed amount)
- Adjust size depending of portfolio limits
o Maximum total invested (option : %cash/available equity, fixed amount)
o Maximum total sector (option : %cash/available equity/%Portfolio, fixed amount)
o Maximum total industry (option : %cash/available equity/%Portfolio, fixed amount)
- Check minimum investment (option : cancel, force minimum amount or do nothing)
- Apply Miscellaneous options

I think it will be great help for basic wealth-lab members like to me offer :
- basic interface for Sizing trade (like today)
- advanced interface for Sizing trade (like I suggest where you give the possibility to script “Optimal size”)
- fully scripting strategy (like today)

Thanks in advance for thinking on that.
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Eugene

#2
QUOTE:
The problem that I see is that every libraries have not same options to manage trade limits developed on “Possizer Options”.

This is a misconception to call it a "problem". Some PosSizers are derived from the BasicPosSizer while the others are not inherited from it. Some e.g. Percent Volatility or Kelly Formula have their own guts for size computation while the others e.g. Winning Streaks are an extension, or better an overlay to the basic position sizing method, offering some additional constraints and/or tweaks.

Since it's impossible and unpractical to mix everything with everything, the best option is to develop your own PosSizer for the custom logic described above. Everything required to develop PosSizers is offered in the Wealth-Lab Wiki. Step by step:

I. API Guide on how to Create a PosSizer: Wealth-Lab Version 6 (.NET) Development Guide
II. Home - MS123.PosSizers > Project Source (demo version)
III. Typical questions in the FAQ re: Extension/PosSizer development

Fire away with your questions as you go through the steps.
QUOTE:
- advanced interface for Sizing trade (like I suggest where you give the possibility to script “Optimal size”)

By design, PosSizers are applied after the Strategy finishes executing (having collected all possible trades by trading in RP mode with 1 share). Anything else but the SetShareSize option ("WealthScript Override") would be a major architectural change.
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abegy

#3
I agree with you that I can create my own PosSizer to work like I want. But my problem is that I'm not a scientist to understand correctly how to redevelop inside Kelly, formula...

Concerning "WealthScript Override", can you give me an example of how it is working. I found nothing in the documentation.
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Eugene

#4
QUOTE:
I agree with you that I can create my own PosSizer to work like I want. But my problem is that I'm not a scientist to understand correctly how to redevelop inside Kelly, formula...

You might want to check this out: Kelly Formula for Money Management
QUOTE:
Concerning "WealthScript Override", can you give me an example of how it is working. I found nothing in the documentation.

QuickRef (hit F11): SetShareSize.
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