Position sizing is here!

Sooner than expected, I have added position sizing. Where can you find it? first steps go to strategy and check the following fields:

  • Strategy Allocation - how many % of the portfolio "Max Exposure" will be allocated to current strategy. For example, we have a portfolio capital of $100,000 and Max exposure is 50% - this means that we will trade securities as long as we do not hold more than $50,000 of positions. The strategy allocation is how many % from the $50,000 will be allocated for the current strategy.
  • Position size - Size in % of each position (or slot). For example, 1% means that we will use $1000 each time we issue a Buy order of the security.
  • Max Positions - How many positions will be buy (or slots). If the number is 3, it means that the system will buy up to 3 times $1000 slots, and additional Buy order will not fulfill until we start sell some.
  • Position Priority - its the method to select few of Buy orders from too many. For example, the system issue 10 Buy orders based on the strategy and we can issue only 3, how does the system select the 3 of 10. Currently not yet implemented, and its simply a FIFO - first in first out method.

in portfolio, check the following field:

  • Total Capital ($) - total US$ allocated for all strategies of current portfolio.
  • Portfolio Max Exposure (%) - The % of Total Capital that may be exposed to trading. For example, Total capital is $100,000 and Max Exposure is 30%: when holdings (positions) pass $30,000 the system will stop issue Buy orders untill few Sells will take place. This is done to let the user decide on the appropriate risk level he is willing to take.

And last, go to Today menu, select a Universe, a Portfolio and press the "rerun". You'll see a lot of new information. Once you start your daily "accept trading" the system will automatically manage your holdings, trades, revenue, etc... Note the last execution date in the first line, if its too old, "rerun".

So, these mechanism allows us now to define and manage the risk associated with position sizing. We have a roof - the Max exposure and we can set limits per each strategy.

Stay tuned, more will follow,
Shlomo.

Comments

mark_m's picture

Tried it, however, the position priority is always FIFO......
Changing to P&L doesn't matter ....
When will P&L be supported?

Alia Tilton's picture

So, these mechanism allows us now to define and manage the risk associated with position sizing. We have a roof - the Max exposure and we can set limits per each strategy.

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Rosann's picture

So, these mechanism allows us now to define and manage the risk associated with position sizing. We have a roof - the Max exposure and we can set limits per each strategy. http://www.finrasecuritiesattorney.com/
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