Allocation per trade based on available purchasing power

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Allocation per trade based on available purchasing power

Postby pschmu » Fri Sep 19, 2014 12:01 pm

I was wondering if there is a way to run backtests with money management that allocates the available purchasing capital equally among the number of potential trades that the strategy generates each day.

For example, I have a starting capital of $100k. I want no more than 5 positions in the strategy. My strategy can produce any number of trades each day, but I use the Rank feature with the entry: random(1,10), so that there are only 10 stock orders max the next day. All these trades are limit orders for the next day, so some may not execute. Lets just say after the first day of trading, I have 2 positions, and I have $60k in purchasing capital for the next day. Is there way to allocate the purchasing capital for the next day so that each of the 10 potential buy trades ( if in fact there are 10, there may be less) has an equal allocated amount ($60k /10 = $6K) per trade?
pschmu
 
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Re: Allocation per trade based on available purchasing power

Postby Overload » Fri Sep 19, 2014 3:15 pm

Sorry, but no, there is not a feature for that if I understand correctly. The limit order processing in StrataSearch assumes that any potential trades will be purchased until the portfolio is filled. The trade amount used is based on the trades filled, not on the potential candidates. Obviously such processing would not be possible by entering a handful of limit orders before the market opens, but would instead require some type of intraday processing to enter limit orders on a realtime basis. There are systems that allow for this, such as Ninja Trader, and I've recently heard about another one called Prodigio.

But currently there isn't a feature in StrataSearch that would allow you to distribute your cash amongst a larger number of limit orders, and then only enter the ones that trigger at that alternate trade amount.

Pete
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Re: Allocation per trade based on available purchasing power

Postby pschmu » Sat Sep 20, 2014 12:20 pm

Thanks Pete. I have used Prodigo before and it works well for what I am doing. They used to give me free access to the platform for practice accounts but after a certain time frame, you have to have an account with their preferred broker, which I would rather not do.

I have heard Ninja has some great capabilities, but I dread the programming.

I'm working with Wealth Lab Pro also. I get it for free, and it has money/ position management capabilities but I hate learning new programming. :x
pschmu
 
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