Steve Mayo Legend  Posts: 414 Joined: 10/11/2012 Location: Austin, TX  User Profile | Let me see if I can add a little to this great discussion. Here's how position sizing works: The "default" trade sizes for Nirvana's "canned" strategies are fixed. For example, on R10-L-ELS is is 10%. For R10-L-SP it is 25%. You can determine each one easily by looking at the strategy details popup (when viewing a longer timeframe) and rounding it off. What is shown there is a backtest calculation (not the true default) that is averaged after generating the equity curve -- it takes into account the "allow settings to reduce trade size" setting at the account level...and maybe the share rounding (I've never used that one) so you have to round it off. Point is that it's a fixed default that gets modified! On strats YOU create using Strat Builder, you set that default trade size using the % per trade field. The "Alloc" fields at both the strat and port levels then simply modify that default trade size. For example, if you set the ALLOC for R10-L-SP at 200% and then use it in a portfolio having the ALLOC set at 50%, the result will be every trade from R10-L-SP (with rare exception) will get 25% of the available equity that day (25% default x 200% @strat level x 50% at port level = 25%). Again, in the current version, that DEFAULT trade size is fixed (in this example 25%); albeit, things may change in a few weeks as the Pro tools are implemented. The only exception is when on a day the trade is next in the daily candidate list and OV is trying to fit that trade into the available equity under the situation where "allow settings" is checked. [Edited by Steve Mayo on 5/10/2014 1:24 PM] | |
