Hi There,

I am back-testing a strategy on a list of ETF's. The backtest runs over many years. We choose a position size as a percentage of the equity. However, in the distant past, there were fewer ETF's than there are now. So...is it possible to program a different %-age of equity depending upon the number of symbols which are alive? Alternatively, a percentage of equity which depends on the date.

Thanks

Hi,

Yes it's possible, and to implement the requested method you'll have to develop a custom PosSizer.

Wealth-Lab Version 6 (.NET) Development Guide > Create a PosSizer
Home - MS123.PosSizers > demo source code download
Wiki FAQ > Extensions

However, there's a couple of existing PosSizers in MS123 PosSizer Library
designed to solve similar tasks, one way or another. This one's your best bet:

Spread Equity Equally - spreads available equity/cash equally based on the variable number of Alerts, arriving at equal exposure.

So you don't have to worry about how many ETFs there were, the PosSizer focuses on the number of signals available. Something related:

Graded equity percentage