Scaling in and out of positions
Author: kivalo
Creation Date: 1/4/2015 9:13 PM
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Is it possible to scale in- and out of positions with WealthLab backtesting?

"scaling-in: A form of position sizing in which you keep adding to the position size based upon
certain pre-determined criteria until you reach some maximum level.

scaling-out: A form of position sizing in which you reduce your size when the open risk or open
volatility exceeds a pre-determined level. The purpose is to maintain a constant risk, or volatility,
in your account." - Dr. Tharp

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The thing to keep in mind is that Wealth-Lab is position-based. In other words, your script works with positions, each of which has many properities such as entry date, price, number of shares, etc.

Consequently, when your script triggers a "buy", it buys a Position based the Position Sizing rules, which may be as complex as you like. (See MS123 PosSizers)

Likewise, when you sell, your trading logic needs to specify which Position to sell (or all of them).

Practically speaking, however, in the context of adding or trimming a few "dollars" worth of positions in a single instrument for "balancing" is not for the meek.
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