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Say I want to do position sizing based on the distance to a stop. For
example, say I want to size based on overall portfolio risk. I've
tried the following code:
PositionSize = -5*Buyprice/(Buyprice*0.12);
But that doesn't generate any trades. So, I'm guessing the code is
way, way wrong - can anyone help me out here?
Second related question: let's say position sizing using this method
results in the use of leverage. How can I make the leverage dynamic
so that the system automatically scales to the required leverage for
the system?
Thanks,
Damian
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