Sell N shares when backtesting option spreads with % equity
Author: jecjackal
Creation Date: 4/11/2019 1:22 PM
profile picture

jecjackal

#1

4/11/2019 1:22 PM

Hi,

I am trying to backtest call spreads. I currently have code that is using 2.5% of my portfolio on a synthetic contract using the position options pos sizer. What I would like to do is sell the same number of contracts to create a spread. However, I don't know how to precisely say 'sell to open N contacts' if my pos sizer is already using pct equity. Does anyone have any suggestions?

Thanks!

Jec
profile picture

Eugene

#2

4/11/2019 1:39 PM

Hi Jec,

The PosSizer lets you specify a variable percent of equity in WealthScript code through the "Use .Tag" button (if you mean this).
profile picture

jecjackal

#3

4/11/2019 3:43 PM

Yes that's what I'm using. Ok, I'll give that a shot. I can calculate what percentage to sell given the current contract price. Thanks Eugene.
profile picture

Eugene

#4

4/11/2019 8:12 PM

Any time.
This website uses cookies to improve your experience. We'll assume you're ok with that, but you can opt-out if you wish (Read more).