Currently I have a system to apply to a portfolio for back test and use 7% of equity for position size. It goes without saying that there will be some stocks more volatile than others, so 7% as a standard will be yield different results per issue.

I don't know how to vary the % of equity per stock adjusted for volatility so to get around that I have created many versions of the same system; however, I now use a filter to screen for particular volatility and apply it to the entire portfolio.

I'm using "projection bands" ( 20 days to be specific) to determine the volatility of a stock. If the stock meets the range of volatility specified, the system will pick up these trades.

After generating back test for each system the highest volatility stocks and the lowest volatility stocks can be adjusted by more or less % of equity based accordingly.

So here's what I'd like to do if it is possible:

either:
a. Apply "projection bands" or equivalent to vary % of equity for each trade in one system.
or
b. Apply a back test for these separate systems. Each system specifies it's own % of equity.

Here's from our Wealth-Lab 5 Wiki re: volatility position sizing:

How do I implement volatility position sizing in Wealth-Lab 5 ?

QUOTE:

Position sizing based on volatility suggests to keep a wider stop when the market has a higher volatility while preserving your maximum per trade loss, effectively instructing to buy less shares during volatile periods, and more shares during calmer periods.

If you want constant risk, then in current version you could determine the stop based on volatility (for instance, as a multple of the ATR unit), pass it to RiskStopLevel before you take the Position, and use Max Percent Risk sizing.

In a future version [5.6], PosSizers (the new name of $imuscripts) should return to Wealth-Lab, providing an alternate way to do the job - without having to expressly specify risk level in the Strategy.

Hope that helps.

If you may, can you explain if PosSizers will allow one to specify Max % of equity to be bought per trade? I mean how exactly will it work. I'm more interested in specifying the size of the positions rather than the width of the stop.

PosSizers are to Version 5 what "SimuScripts" were to prior Versions. Read all about it:

Program your own Position Sizing using SimuScripts
FAQ - SimuScripts

You should be able to get the data series that determine the volatility of a stock, and adjust the percentage of equity accordingly. Here's an example of volatility position sizing code in V4 (a $imuscript):
Percent-volatility money management

Thanks- I'll need time to digest all this. I'm not sure if I totally conceptualize the application of Percent-volatility money management at present. No need to explain Eugene unless you think there is an easy way to relate this to me.

Seems my use of separate strategies ( Same system, different volatility filters) is providing the results that I would have expected or hoped for. e.g. Stocks of the S and P 500 without the filter shows an average losing trade of -5%. While the filtered system for the least and most volatile filters are -2.5% and -12% respectively. I have 4 versions of this system with an upper and lower limit on volatility. The middle two systems show average losing trades near 5%.

The total money made for the time period selected ( 5 years) for each filtered version adds up to the unfiltered total for the same data and time period.

So I'm not sure if there is a method to back test and combine separate versions of this system. Ultimately, the "ProSizers" will most likely make this an easy process, but for now if I can combine them with (e.g. system one trading 8% of equity, system 2 and system 3 trading 4% of equity and system 4 2% of equity), I suspect that would produce a very steady equity curve. I suspect a very tradeable system.

Wealth-Lab 5 currently doesn't allow backtesting of multiple systems although I heard it was on their radar. Fidelity customers, please call your rep and ask that you need this functionality.

If you could combine your systems by assigning a different signal name, then with PosSizers in 5.6, you'll be able to assign a different percentage of equity to each signal.

By the way, here's a quick proof of concept illustrating how to combine various system classes in one pool using the known technique of passing the WealthScript object by reference:

CODE:
Please log in to see this code.

I will make the call.
I'm sure I'll be interested in using this from that time forward.

ETA for 5.6?

BTW: Thanks very much for your time.

You're welcome. Fidelity doesn't provide ETAs, but it's more towards the end of 2009 or the beginning of 2010.