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I'm trying to use PositionScore in a portfolio-level backtest. It
seems to mess up my settings of having each trade be the same amount
in terms of % of equity. In AFL I have:
SetPositionSize(25, spsPercentOfEquity);
PositionScore = MyRankCalc;
But when I backtest, I get multiple trades in a single day, and some
of the trades have a Position Value of $12,000, and another is $19. It
doesn't seem to be buying shares in accordance with the 25%/equity
setting.
So how can I rank my buy signals yet still have each trade by the same
dollar amount?
Thanks in advance,
Joel
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