PosSizer Request: limit entries per actual day, not per bar

Author: tasmaine

Creation Date: 4/27/2010 7:57 PM

Wealth Lab » Extensions » PosSizer Request: limit entries per actual day, not per bar

tasmaine

4/27/2010 7:57 PM

In a different thread,

/Forum/Posts/MS123-PosSizer-library-a-collection-of-money-management-methods-30246

I had made a request for a PosSizer to do the following:

1. Limit each entry to x% of equity.
2. Limit each day to y entries.
3. Limit each symbol to z entries. (In my case z=1, most often.)

With "Max Entries Per Day", I get 1 & 2, but not 3.
With "Positions Options", I get 1 & 3, but not 2.

Cone replied: "Max Entries Per Day give you #1 and #2. Your trading script can do #3. "

After considering this, I don't think this is the case.

As an example, if I have the same 6 possible entries on two consecutive days and I'm trading with a money management PosSizer that permits one entry per symbol at one time, with a maximum of 2 entries per day, I get the following:
On day one, I get trades on symbols A, B, C, D, E, F and take the trades on symbols A, B. If on day 2 I get entries on the same symbols, I won't take A or B. My trading script won't know this, but my PosSizer would.

As a reference, here is the code that I used as a SimuScript in WLP 4.5

CODE:
Please log in to see this code.

Thanks in advance for help anyone can provide.

Size:

Color:

In a different thread,

[LINK]/Forum/Posts/MS123-PosSizer-library-a-collection-of-money-management-methods-30246[/LINK]

I had made a request for a PosSizer to do the following:

1. Limit each entry to x% of equity.
2. Limit each day to y entries.
3. Limit each symbol to z entries. (In my case z=1, most often.)

With "Max Entries Per Day", I get 1 & 2, but not 3.
With "Positions Options", I get 1 & 3, but not 2.

Cone replied: "Max Entries Per Day give you #1 and #2. Your trading script can do #3. "

After considering this, I don't think this is the case.

As an example, if I have the same 6 possible entries on two consecutive days and I'm trading with a money management PosSizer that permits one entry per symbol at one time, with a maximum of 2 entries per day, I get the following:  
On day one, I get trades on symbols A, B, C, D, E, F and take the trades on symbols A, B.  If on day 2 I get entries on the same symbols, I won't take A or B.  My trading script won't know this, but my PosSizer would.

As a reference, here is the code that I used as a SimuScript in WLP 4.5

[CODE]{
Simuscript to limit number of trades to NUM / day.
Also limits to 8% & no more than one position per stock at any time

Should ensure that Freeriding violation does not occur w. script xxx.
}

const NUM = 2;
var a, p, Count: integer;
var sym: string = PositionSymbol( #Current );

p := PositionCount;
for a := 1 to ActivePositionCount do
begin
  repeat p := p - 1;
  until PositionActive( p );
  if PositionSymbol( p ) = sym then // the #Current symbol is already active
  begin
    SetPositionSizePct( 0 );
    exit; // exit SimuScript now
  end;
end;

Count := 0;
for p := PositionCount - 1 downto 0 do
  if PositionActive( p ) then
    if PositionEntryBar( p ) = PositionEntryBar( #Current ) then
    begin
      Inc( Count );
      if Count = NUM then
        Break;
    end;

if Count = NUM then
  SetPositionSizePct( 0 )
else
  SetPositionSizePct( 8 );
[/CODE]

Thanks in advance for help anyone can provide.

Eugene

4/28/2010 7:17 AM

This simuscript, as well as Wealth-Lab's built-in "Max Entries per Day" PosSizer, will work as advised on Daily data only, allowing unlimited number of entries per day on intraday data. It's because they track the number of entries per single bar.

Having added "Limit each day to y entries" to Position Options today, I'm also checking if the PosSizer is working on an intraday time frame. In this case, the number of entries will be limited per actual day, not just per bar.