Size depending on number of signals
Author: dance
Creation Date: 5/22/2017 3:37 PM
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dance

#1
Hi Guys!
Could you help me, I'm trying to test some long only portfolio strategy, whrere size depends on number of signals - if we receive only one signal we buy 100% of stock A, if 2 then split capital between A and B, etc. I looked through different possizer's but couldn't find any, which could help me solve this problem.
Maybe I missed something, Is there any way to do it in Wealth-Lab?
Thanks in advance for you help.
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Cone

#2
In the the MS123 PosSizer Library the Graded equity percentage sizer should do the trick.
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Eugene

#3
Robert, that'd work for a legitimate user - not for him. ;)
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dance

#4
Thank you, Cone!
I've tried this, could you explain what properties should I enter, error messages are counterintuitive.

To Eugene, I am legitimate user, I've got company's account.
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Eugene

#5
Here's what's counterintuitive: "error messages" in a PosSizer that's isn't programmed to throw any error messages. What are they?

Applying the Graded Equity Percentage PosSizer to your example, here's how it should be configured:

From: 1 -- To: 1 -- Max Pos: 1
From: 2 -- To: x -- Max Pos: 2
No "etc.", unfortunately
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dance

#6
Eugene, Thank you for your relpy,

The problem is that I have more than 2 signals, right now it's 8, Is there any way to set size accordingly?
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Eugene

#7
Not with the Graded Equity Percentage PosSizer. Give this one a try, looks like it fits your request nicely:

Spread Equity Equally

An alternative with open source code can be found here:

PosSizer for rotational strategy with overlapping buys and sells
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dance

#8
Thanks, I will look to the link you've sent.

As for Spread Equity Possizer it splits equally and it doesn't depend on number of signals. Screen attached.
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Eugene

#9
QUOTE:
As for Spread Equity Possizer it splits equally and it doesn't depend on number of signals.

Which is exactly what you asked for:

"if we receive only one signal we buy 100% of stock A, if 2 then split capital between A and B, etc."

Re: screenshot. Previously you mentioned that "I have more than 2 signals, right now it's 8". If you're trying to use "Min/Max Position Size" in this PosSizer as a number of positions or signals, it's not going to work.

To sum things up, your request is unclear.
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