Fixed trade size, adaptive portfolio size

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Fixed trade size, adaptive portfolio size

Postby Kevin_in_GA » Sun Apr 22, 2012 5:36 pm

Just a suggestion here that would be useful. Right now we have only fixed portfolio sizes, and either variable or fixed trade sizes. How about an option for fixed trade sizes (say $10,000 per trade), but allow more trades to be entered if the cumulative equity permits? As an example, if I have a really good strategy that makes me 100% a year but I will never bet more than $10,000 per trade, I should be able to enter up to 20 positions if I have $200,000 in accumulated equity. Over time one can enter more positions as your wealth grows.

I'm thinking that this can be done if the program simply looks at the current equity and divides by the trade size, and rounds down. That is then the allowed number of positions for each day.

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Re: Fixed trade size, adaptive portfolio size

Postby Overload » Mon Apr 23, 2012 9:15 am

There's already the Fixed Trade Equity where profits are not reinvested, and the Variable Trade Equity where profits are reinvested by increasing the size of each position. But I can see how reinvesting profits into additional positions could be a useful option as well. There could be an additional overfitting risk due to larger numbers of positions being held at certain periods, and one would need to verify that those periods are consistently more profitable and not just a fluke.

But there are many ways of viewing results, and it seems this option could helpful in some cases. I'll think about it a bit more. Thanks for the suggestion.

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