Capital allocation - total capital is split in Long/Short strategy

Capital allocation - total capital is split in Long/Short strategy

EdL
2013-02-10 19:52:32

Hi,

I am trying to backtest a Long/Short strategy with $100k starting capital. However, the capital is split 50:50 by QuantShare so each long/short trade is only given 50k.
Starting with 200k does mean that long/short get 100k each but it does not work as all the performance statistics are then incorrect

Ideally I would just like to place 100k on each trade rather than 100%. How can I achieve this?
Do I have to use a MM script? If so, can you please point me in the right direction?

Many thanks

Ed

clonex
2013-02-10 22:29:17

Best Answer

In Simulator/Backtester click on trading system choose update>>settings>>capital and finally check: Merge Long&Short Categories

EdL
2013-02-10 23:11:48

Thanks for confirming this.
I already have this option set. After running the backtest and viewing the Statistics tab on the report window, it only shows half the total capital at the top of both Long and Short columns.
However, the Trades tab shows that the value of capital invested is actually 100% on Long and Short trades, which is what I was after. So it looks like it's just the initial Long/Short equity amounts on the Statistics tab that was confusing me.

Regards

EdL
2013-02-11 18:23:14

In case anyone else is interested I used this "fixed dollar amount position sizing" money management script in order to trade 100k each trade rather than 100%

http://www.quantshare.com/item-493-position-sizing-fixed-dollar-amount

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