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my apologies, since I know this gets discussed a lot, but I don't get how
positionsize works.
say I have a strategy that operates on a watchlist of stocks, any number of
which may generate a buy or a short at any time. it's a fast system,
generating a lot of trades, potentially overlapping each other. I want to
look at how profitability and drawdown are affected by the maximum number of
positions I take. I've unchecked 'Allow position size shrinking' in AA
settings, so my thinking was that if positionsize was -50, 2 positions could
be opened at once, -10 would allow 10 positions, etc.
but when I look at the trade list of a backtest with a positionsize of -100,
15 positions get opened on the first day of the test. when I optimize
max_positions, the number of trades shown in the optimization results is
always the same, though profitability does change, so *something* is
happening.
obviously, I don't understand how positionsize works.
here's the positionsize code:
max_positions = Optimize("max_positions", 5, 1, 20, 1);
positionsize = -(100 / max_positions);
I'm sure I'm doing something dumb, but I don't get it.
Dave Merrill
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