Rotational Strategy - 100% invested
Author: novendeh
Creation Date: 3/27/2011 7:31 PM
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I am trying to develop a strategy where I am 100% invested. I buy 20% in five positions, initially, then sell one and buy a new position. Then sell a position, buy a position, sell another, buy another, etc., eventually I wind up with cash slowly accumulating when I look at equity curve. Is there some way to buy 100% after when I buy again of the new position so there is no cash left?

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Developing a custom PosSizer is the straightforward way to use all equity up. There you always know the portfolio equity (because position sizing acts as an overlay and trades are always pre-executed with 1 share).

Another option is to activate the "Skipped trade solution" option in the Position Options PosSizer (applies to AtMarket orders) to avoid skipping trades that otherwise could be taken.
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Eugene - I have no idea how to create a custom PosSizer.

Also, the option you suggested in 2nd paragraph didn't work. Any other suggestions?

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1 - Just for the record, here's how to Create a PosSizer (PDF) and here's a sample Visual Studio solution: MS123.PosSizers home.

2 - Could you expand on your definition of "it didn't work"? It's a pretty insufficient description. Taking 5 positions at 20% is the same as taking 1 at 100% in terms of trades skipped due to the gap between the basis price and the actual price, so if your strategy uses AtMarket orders for which the solution is designed, I hardly see why it shouldn't work.

Here's another suggestion that should fit the bill:

Spread Equity Equally

This PosSizer spreads available equity (or cash) equally based on the variable number of Alerts (candidates) generated by the system, arriving at equal exposure.
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