Max Percent Risk based on Cash remaining instead of Equity?

Author: crk31174

Creation Date: 12/14/2018 4:43 PM

Wealth Lab » Extensions » Max Percent Risk based on Cash remaining instead of Equity?

crk31174

12/14/2018 4:43 PM

Hi Eugene, Cone

Is there a PosSizer already available that is based on % Cash Remaining instead of %Equity?

Thanks,

Hi,

Although it's not exactly what you're looking for, the Position Options PosSizer has an option to turn off reinvesting profits. When the "Don't reinvest" button is pressed, the original starting capital is used to size positions.

crk31174

12/14/2018 6:23 PM

I'd like to have the realized profits re-invested, but not the unrealized profits. As I understand it, equity is both realized and unrealized profit. But I just want the cash remaining that will include the realized profits to be taken into account for position sizing. This way the compounding comes into effect.

Is it possible? If not, can you suggest alternate ways to achieve compounding.

Eugene

12/14/2018 9:40 PM

I'm not sure if it's possible. It would take a deeper look but off the top of my head, in another PosSizer an adverse effect from using cash has been discovered. See my post #4 here: Spread Equity Equally PosSizer.

Maybe Cone's "Portfolio Equity Tracker" framework could be leveraged to track the Cash series but it would require an adjustment of your code to comply with it: Limit Monthly Drawdown / Portfolio Equity Tracker.

crk31174

12/14/2018 10:39 PM

Eugene, Thanks for your help.

Have a question for Cone regarding the Portfolio Equity Tracker.:

To use the "cash remaining" for position sizing, will it work if I replace the _equity[bar] to _cashRemaining variable:

CODE:
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crk31174

12/17/2018 3:27 PM

Hi Eugene or Cone,

I'm thinking of abstracting Portfolio Equity Tracker code into a common shared .NET dll or custom PosSizer after modifying the position sizing to cash remaining. Would you recommend creating a PosSizer or simply a .NET dll that other strategies can use?

Thanks

Eugene

12/17/2018 3:45 PM

Hi,

What PosSizers do is only size new Positions. Cone's PortfolioEquityTracker also keeps track of the cash/equity series. I think the answer is evident: a shared class library .

crk31174

12/17/2018 4:39 PM

Is there an example that you can share on how to create a shared class library to use within a strategy? Can it be done using the wealthlab pro IDE?

Eugene

12/17/2018 5:09 PM

Your question sounds too general to me. Community Components is such an extension. Almost any compatible .NET class library can be used within a Strategy. So, the open source code of Community Components should do for example. Development of a class library takes place in an IDE like Visual Studio Community or SharpDevelop.

crk31174

#10

12/17/2018 5:40 PM

Thanks for clarifying, Eugene. Is it possible to incorporate Cone's PortfolioTracker along with the PositionSharesCashRemaining() variant into the Community Components?

CODE:
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Eugene

#11

12/17/2018 6:38 PM

This question is up to @Cone.

Cone

#12

12/17/2018 9:05 PM

I'd have to vote "no". I don't really remember the motivation for creating that, but it's an incomplete work, very complicated to use, and I'm not sure that I trust it past using it as a demo. It's just too error prone to include (and support) in C.Components.