How do i reuse optimization parameters from the Strategy script (e.g. N-bar Stop "hold Period", RSI period used to rank stocks for Buy signals, etc.) in my Money Mgmt script?
I came across this blog below that describes adding new opt parameters in Money Mgmt, but this approach creates redundant optimization parameters, which is disruptive (e.g. 2 sets of RSI periods, one used for Money Mgmt and another in Strategy script ranking) http://www.quantshare.com/sa-491-money-management-optimize-the-scale-in-strategy
Any code sample that shows how i can reuse the opt parameters from the Strategy script (e.g. RSI period) and Strategy GUI (e.g. N-bar Stop period) in the Money Mgmt script would be helpful.
Currently, there is no built-in function to get strategy variables within the money management script.
Why do you need to use the same RSI again in the money management script?
e.g. I use the perf(close,per) as a ranking function and as a filter (perf>0) in the Strategy script, and also use perf(close,per) for dynamic "max-perf" position sizing in Money Mgmt script, so the Buy Orders are position-sized proportional to perf(close, per).
In this example, I would need to optimize for "per".
- Any work-around to address this?
You can use "SetSimPosSize" to dynamically adjust positions within the strategy script.
Otherwise, you will have to create a custom function (Tools -> Create Functions) that is called from the strategy. This function would save the parameter value in a global variable using the "Global" class. That same variable can be retrieved later from the MM script using the same "Global" class.
Thanks,
I have a rank-based rebalancing system and want to set my position size weighted inversely proportional to the rank. i.e. in a portfolio of 5 positions, Rank1 is weighted 4/10, Rank2=3/10, and so on.. (Below is the code)
- What are the parameters in the SetSimPosSize (is it % of portfolio equity or # of shares)? Couldn't find documentation on this function.
- How do i determine the portfolio equity and the stock price in the Strategy script below?
- Also, in the scenario where only 1 Sell is triggered by Stop rule (instead of rebalancing the entire portfolio), how do i determine % of portfolio in cash, to determine the # of open positions to fill with Buy orders?
/////Strategy script to weigh position size inverse to rank...
pos = 8;
rank1= comp(<ranking function>, "rank", 1, 1);
SetSimPosSize((pos-rank1)*2/pos*(pos-1)*<Portfolio equity>/<stock-price>,"LONG");
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