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I am trying to do a very simple rotational trading backtest where I am
testing using the below code. However, the position sizing is very
messed up. For example, I have the initial equity setting set at
$100,000 and the first 8 trade of a series (all with the default of
one position only and Buy/Close delays set at 0) taking positions of
less than $10,000. I've tried different toggling of the the allow
position size shrinking and use previous bar for position sizing to no
avail. Even fixing position size at a small value doesn't seem to help.
Help!
A2 and B2 code here
Score = ((A2*.5) + (B2*.5))+10;//add 10 to prevent shorts
SetBacktestMode( backtestRotational );
WRH = Param("Worst Rank Held", 1, 1, 5, 1);
SetOption("WorstRankHeld",WRH);
HMB = Param("Hold Min Days", 7, 1, 21, 1);//or min bars
SetOption("HoldMinDays", HMB);
PosSize = Param("Position Size", 1, 1, 5, 1 );
//PosSize = Optimize("Position Size", 1, 1, 5, 1 );
SetOption("MaxOpenPositions", Possize );
SetPositionSize( 100/PosSize, spsPercentOfEquity );
//SetPositionSize( 10000, spsValue );
PositionScore = Score;
//ApplyStop( 3, 1, 21, 1, volatile = False, ReEntryDelay = 0 );
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