PosSizer that stops opening positions for N bars after a drawdown?
Author: kbellare
Creation Date: 12/23/2013 4:50 AM
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kbellare

#1

12/23/2013 4:50 AM

I'm using Multi-strategy backtesting and would like to stop non-performant strategies for a period of time.

Is there a position sizer that can be configured to stop investing for N bars after a drawdown, and re-start after N bars? I looked at the MS123 position sizers and didn't see any obvious solution.

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Eugene

#2

12/23/2013 6:28 AM

No, there's not. However, there are solutions that look close:

ROR as Benchmark
Win Increases (Equity momentum) - enter a negative equity change by prefacing the number with a minus ("-", w/o quotes)
Limit Monthly Drawdown
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