Position Sizing based on indicator value?

Questions directed to our Support Team. Responses can be expected within 24 hours.

Position Sizing based on indicator value?

Postby Kevin_in_GA » Thu Mar 29, 2012 11:23 pm

Is it possible to have SS change the position sizing of a trade based on the recent PROC or volatility of the underlying instrument?

Specifically, if I have four stocks (SPY, EFA, IWM, and AGG) and I want to periodically change my positin sizes for each investment based on recent performance, can this be done? Example - last month I was 25% in each stock, but over the past month AGG has returned a negative PROC and IWM has taken off. Now going forward I would like to resize my bets to IWM at 50%, SPY and EFA at 30% and 20% respectively, and 0% in AGG - all based on a Kelly f-like criterion.

Technically each bet could be closed on the review date and new trades placed, but the key is to have the trade sizing proportional to it's risk-adjusted performance.

I'm thinking this cannot be done, but whenver I thought that before, someone usually figures out a way to write code to make it work.

Kevin
Kevin_in_GA
 
Posts: 171
Joined: Wed Aug 04, 2010 10:14 am

Re: Position Sizing based on indicator value?

Postby Overload » Fri Mar 30, 2012 10:49 am

StrataSearch does not have any position-sizing features, so technically this can't be done. However, there are limited things that can be done by doubling-up on positions within the portfolio. More specifically, you can check the "Allow Multiple Purchase of Symbols Across Systems" box in the OneClick or Multi-System Setup, which will allow multiple strategies to hold the same symbol at the same time. Then you can have each strategy buy and sell at whatever time you want. The result is that you can buy, for example, a position at one point and then another at another point. You can then sell them at different points as well. The result is that you are buying and selling 50% of your position at different times.

It's not a perfect solution, but maybe it's an option that will be useful for you.

Pete
Overload
 
Posts: 2248
Joined: Wed Nov 30, 2005 12:14 pm

Re: Position Sizing based on indicator value?

Postby Kevin_in_GA » Fri Mar 30, 2012 10:56 am

That's pretty much what I thought.

If you had a portfolio with 100 positions, is there any way to count the number of positions in an individual stock? Something like positioncount(SPY)? Obviously I'm making that particular function up, but you get the idea. Then one could set up a condition where additional units were purchased until the count equaled some other variable.
Kevin_in_GA
 
Posts: 171
Joined: Wed Aug 04, 2010 10:14 am

Re: Position Sizing based on indicator value?

Postby Overload » Fri Mar 30, 2012 4:27 pm

Sorry, but no. The Position Count is available only as a chart in the Detailed Analysis, but isn't available as a filter or formula in the Entry and Exit Strings themselves.

Pete
Overload
 
Posts: 2248
Joined: Wed Nov 30, 2005 12:14 pm

Re: Position Sizing based on indicator value?

Postby emo » Mon Mar 25, 2013 10:31 am

Overload wrote:StrataSearch does not have any position-sizing features, so technically this can't be done. However, there are limited things that can be done by doubling-up on positions within the portfolio. More specifically, you can check the "Allow Multiple Purchase of Symbols Across Systems" box in the OneClick or Multi-System Setup, which will allow multiple strategies to hold the same symbol at the same time. Then you can have each strategy buy and sell at whatever time you want. The result is that you can buy, for example, a position at one point and then another at another point. You can then sell them at different points as well. The result is that you are buying and selling 50% of your position at different times.

It's not a perfect solution, but maybe it's an option that will be useful for you.

Pete



Is there any plans to add position sizing capability to SS say based on some vol measure like stdev or ATR? This is pretty fundamental risk management for any decent algo system i would think.
emo
 
Posts: 19
Joined: Thu Mar 14, 2013 1:51 pm

Re: Position Sizing based on indicator value?

Postby Overload » Mon Mar 25, 2013 1:22 pm

Yes, position sizing is already on the list of possible future enhancements.

Pete
Overload
 
Posts: 2248
Joined: Wed Nov 30, 2005 12:14 pm


Return to Technical Support

cron