dynamic position sizing based on stocks selected by the buy rules

dynamic position sizing based on stocks selected by the buy rules

Andrew Thomas
2020-07-03 16:49:17

Hello

In a Trading System Strategy I would like to be able to set the number of positions to the number of selected equities based on the 'buy' rules. For example, if on a particular day the 'buy' rules select 5 stocks, I would like the number of positions to be 5 with all $s sent to those 5 stocks equally, if on another day the 'buy' rules select 38 stocks, I would like the number of positions to be set to 38 with all $s sent to those 38 positions equally. It seems like SetSimPosSize() or SetSimSetting(_NbPositions,) are the best choices for control of this variable, but they seem to require fore knowledge of how you want to divide up your investment either by %, shares, $ per position. Is there a way to sum the number of stocks matching the buy rules such that I could pass that variable to the SetSimPosSize function?

Thanks
Andy

QuantShare
2020-07-05 12:18:23

When backtesting QS language formula, the engine generates buy and sell orders and doesn't know how many buy or sell signals there is for each trading bar. To do what you want, you need to create a custom money management script that will catch the "OnNewPosition" event and adjust the size of each position depending on the number of buy signals for that bar.

Andrew Thomas
2020-07-05 13:51:13

Thanks for the quick response, I ended up using code from the "Custom Rebalancing" script. The following in the "OnEndPeriod" event seems to work at giving a dynamic number of positions with maximum % investment:

// Update new signals position
_TradingOrder[] orders = Orders.GetPendingBuyOrders();
double cash = Portfolio.GetAvailableCash("long");
double amount = cash / orders.Length;
for(int i=0;i<orders.Length;i++)
{
TimeSeries close = Data.GetPriceSeries(orders[i].Symbol, "close");
int size = (int)Math.Floor(amount / close[0]);
orders[i].NbShares = size;
orders[i].SubmitChanges();
}

Let me know if the above is bonkers.

-A

QuantShare
2020-07-06 12:28:15

Yes this is correct. Assuming you sell all positions on each rebalance, the new rebalance will buy equal amount for all available buy signals.

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