How can I simultaneously open positions of different sizes?
Author: bkent
Creation Date: 11/13/2010 2:47 PM
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Based on signals generated by SPX I want to simultaneously open positions in each of several other symbols. When I open such a group of positions I want to allocate a pre-determined percentage of available cash to each position (e.i. 40% to ABC, 15% to XYZ, & 45% to DEF). By reviewing some of the symbol-rotation strategies I think I've got a handle on most of this, except for the position sizing. Can I code this position sizing into the strategy code or will I have to compile a new PosSizer?
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You hit the nail on the head - a new PosSizer is the way to go.
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