Using ActivePositions.Count as a qualifier

Author: sktrades

Creation Date: 1/11/2013 1:31 PM

Wealth Lab » WealthScript (.NET) » Using ActivePositions.Count as a qualifier

sktrades

1/11/2013 1:31 PM

I'm trying to run a backtest of a modification of the ConnorRSI strategy. But I'd like to limit the number of positions active to a max of 3. I modified the code to use ActivePositions.Count to qualify a new position:

CODE:
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But when I run a backtest, I still get more than 3 active positions simultanoeuly taken. What am I doing wrong?

thanks,
Steve

Eugene

1/11/2013 2:54 PM

Due to the way Wealth-Lab's backtest works (executing all signals in Raw Profit mode first and then applying a position sizing overlay), the number of active positions in a portfolio backtest is under PosSizer's control.

To control the maximum number of open positions across the portfolio, you can use the Position Options PosSizer from MS123 PosSizer library (for example).