SetShareSize in Strategy Monitor
Author: Gamba
Creation Date: 4/7/2013 1:29 PM
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Gamba

#1
I have a trading strategy with two additonal entries after some time. I want to set another equity-percentage or another fixed dollar amount to these additional entries.

I read about the "Use Set Share Size" and "Use Tag %Equity" for PositionOptions PosSizer and it works fine in Portfolio Simulation mode in my backtests.

For live trading and generating trading signals it is recommended to use Raw Profit mode, but the docs says that SetShareSize does not have effect in raw profit mode.

How should I use a different position size in my additional entries for my trading system? What is the recommended way for Strategy Monitor and for generating signals with correct share size?
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Eugene

#2
Just for example, you could break your system in two (main entry / additional entries) independent systems and use different share size for the Strategies.
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Gamba

#3
Hm, that would not fit my needs and I don't want to manage additional systems. Further on there is
no possibility to get accurate backtest result with two or three independent systems.

Why is such a simple core feature not supported?

The only solution I can think about at the moment is to write down the best sharesize option from backtest,
e.g. the best ratios for first, second and third entry, and then compute the sharesize in Stratgey Monitor
by myself when new signals occurs.
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Eugene

#4
QUOTE:
Why is such a simple core feature not supported?

For performance reasons. The SM does not have (need) the concept of a multi-symbol backtest, executing systems on an individual symbol basis. This is why the User Guide stresses that RP mode is recommended in the SM.
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