Hello,
--
is there a way of allocating position not as a percentage of equity but a percentage of remaining cash?
When using high percentage per share, some cash is left unused, particularly when trades are profitable.
Eg. initial capital is $1000, and allocation is 50%, when I open 1 position and this position is profitable, backtester cannot open another position until first position is closed.
What I'd want to achieve is something like this (let's assume 25% or 1/4 allocation)
When no positions are open: allocate 1/4 of cash (= 1/4 of equity)
When 1 positions are open: allocate 1/3 of cash
When 2 positions are open: allocate 1/2 of cash
When 3 positions are open: allocate 1/1 (all the remaining cash).
This is not the equivalent of SetOption("AllowPositionShrinking", true);
And – a broader question – is it a good idea?
best regards
Marcin Jagodziński
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Posted by: =?UTF-8?Q?Marcin_Jagodzi=C5=84ski?= <marcin.jagodzinski@gmail.com>
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