Access portfolio Cash curve in code for position sizing?
Author: mlyon37
Creation Date: 4/16/2014 10:35 PM
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mlyon37

#1

4/16/2014 10:35 PM

Hi,

Is there a way to access the portfolio cash position by bar within a script?

Starting with a cash position I was hoping to size a position in a backtest with something like

Shares = floor (.2* Cash / Price)

and then feed that into a buy order. I've looked at PosSize but it didn't have exactly what I was looking for and thought there may be a more flexible method.

Thanks,
M
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Eugene

#2

4/16/2014 11:54 PM

An alternative solution to access the Cash series exists but programming a PosSizer is exactly what you're looking for. Leaving these pointers here only for completeness' sake:

How to access Cash Curve from strategy
Investing cash (How to program strategies based on available portfolio cash?)
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mlyon37

#3

4/17/2014 12:16 AM

Ok. Let me check that out. Thanks
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mlyon37

#4

4/18/2014 9:21 AM

Got this to work, thanks again. I'll clean up and post the code this weekend.
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