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As a followup to your question ...
Let's take a nice simple system like the one below and give it $1000
in account balance ...
One would think that it would have a maximum of two positions i.e.
PositionSize = -50, but if we allow position size shrinking it
generates the following trades in a small amount of time:
Ticker Trade Date Price Ex. date Ex. Price % chg.
Profit % Profit Shares Position value Cum. Profit
# bars Profit/bar MAE MFE
AMZN Long (profit) 10/7/2002 16.64 10/11/2002 18.304
10.00% 50.00 10.00% 30.0481 500.00 50.00 5 10.00
-1.62% 10.00%
PTEN Long (profit) 10/7/2002 25.16 10/15/2002 27.676
10.00% 50.00 10.00% 19.8728 500.00 100.00 7 7.14
-4.77% 10.00%
SYMC Long (profit) 10/11/2002 17.2 10/15/2002 18.92
10.00% 53.32 10.00% 31.0027 533.25 153.32 3 17.77
-2.62% 10.00%
INTU Long (profit) 10/15/2002 49.53 11/1/2002 54.483
10.00% 57.67 10.00% 11.6427 576.66 210.99 14 4.12
-2.40% 10.00%
PDCO Open Long 10/15/2002 53.09 11/1/2002 51.99
-2.07% -11.95 -2.07% 10.862 576.66 199.04 15 -0.80
-3.54% 3.80%
HSIC Open Long 11/1/2002 51.96 11/1/2002 51.96
0.00% 0.00 0.00% 11.5381 599.52 199.04 2 0.00
-3.79% 0.54%
NXTL Open Long 11/1/2002 12.47 11/1/2002 12.47
0.00% 0.00 0.00% 2.79128 34.81 199.04 2 0.00
-11.31% 0.56%
As you can see it has taken a small position in NXTL on 11/1 which is
the THIRD security it is now holding as of 11/1.
With no position size shrinking you get this list of trades ...
Ticker Trade Date Price Ex. date Ex. Price % chg.
Profit % Profit Shares Position value Cum. Profit
# bars Profit/bar MAE MFE
AMZN Long (profit) 10/7/2002 16.64 10/11/2002 18.304
10.00% 50.00 10.00% 30.0481 500.00 50.00 5 10.00
-1.62% 10.00%
SYMC Long (profit) 10/11/2002 17.2 10/15/2002 18.92
10.00% 52.50 10.00% 30.5233 525.00 102.50 3 17.50
-2.62% 10.00%
INTU Long (profit) 10/15/2002 49.53 11/1/2002 54.483
10.00% 55.13 10.00% 11.1296 551.25 157.63 14 3.94
-2.40% 10.00%
PDCO Open Long 10/15/2002 53.09 11/1/2002 51.99
-2.07% -11.42 -2.07% 10.3833 551.25 146.20 15 -0.76
-3.54% 3.80%
HSIC Open Long 11/1/2002 51.96 11/1/2002 51.96
0.00% 0.00 0.00% 11.0297 573.10 146.20 2 0.00
-3.79% 0.54%
So it does appear that AB is investing 50% of total assets not
available cash for each entry and if we allow position size shrinking
it sometimes of course will result in smaller than normal positions
being taken.
PositionSize = -50;
PositionScore = C / Ref(C, -252);
Buy = 1;
Sell = 0;
ApplyStop(stopTypeLoss, stopModePercent, 10, True);
ApplyStop(stopTypeProfit, stopModePercent, 10, True);
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