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Yes, I was referring to the net allocated to each stock, ie adjusting size up/down (with a limit) based on how volatile it is.
Thanks for the insight, I believe I can use this to solve my problem. Much appreciated!
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> Hi,
>
> What's so silly about using the same position size for DRYS and MSFT? If your strategy predicts equal expected profit for either position, then an equivalent position size (as expressed as percentage of equity) is entirely rational. If you were meaning position size as expressed in numbers of shares, then yes, that would not make sense.
>
> As for your question. I believe that PositionSize is an array like any other (it's been a while since I've used it since my position sizes are all calculated within custom backtest logic).
>
> That being the case, you can use any amount of calculations when settings its value, resulting in potentially different values per bar.
>
> For example; if you never want to bet more than 5% of equity on any one position, and you want to limit the size of your position based on some calculation of volatility, then just express PositionSize as a ratio of -5 (negative values indicate percentage of equity).
>
> e.g.
>
> MaxSize = -5;
> Ratio = ... // Volatility ratio
> PositionSize = Ratio * MaxSize.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "doubletopper" <doubletopper@> wrote:
> >
> >
> >
> > Hello, great forum! I'm a newbie and I'm learning a lot from the very intelligent people posting on this board.
> >
> > My question is this, I've currently been using the very simplistic PositionSize code with a set percent per trade.
> >
> > Is there a set code I can use or a place where can I find out info on changing the allocation per trade based on the volatility of the stock? The method I currently use obviously makes the returns suspect since it would allocate the same amount to DRYS as it would to MSFT, which is obviously silly.
> >
> > Thanks for your help, I really appreciate it.
> >
>
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