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For Ports and Sims:

Add a trade system setting to set a max number of symbols to purchase each rebalance cycle.

For example:

1.2 Position Sizing
Type '% of Market Value'
Ideal Weight New Pos 5%
Aprox. Number of Positions 20.0
Max Weight Deviation 10%
Max Symbols per Rebalance 5

Reason:

Stagger purchases for an additioal mechanism to reduce risk by staggering purchases.

Note:
[PREFERRED]
This could also be incorporated as a condtional purchase rule
maxSymb(,,)
maxSymb(SMA(5,0,#BENCH) < SMA(5,1,#BENCH) ,10,5)
Results: Total score: 30, # of Votes: 10, Average: 3.0
a
 
16 (4)
b
 
9 (3)
c
 
4 (2)
d
 
1 (1)
Scores are calculated as (importance) × (# of votes), where importance ranges from 1 to 4.
Requested by: garryp
On date: 05/12/08
Category: Portfolio

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