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I suggest adding the ability to make position sizing variable, dependent upon the number of stocks that pass any screens, filters, etc.

Example: the target is to find 50 stocks that pass all the filters and size each at 2% of account equity. But on some dates only 15, 26, etc, stocks meet all the criteria. I would like to have some sort of logic that would change the 2% sizing value to 4% (or whatever). Could be as simple as something like:
if number of eligible stocks < 10 then X = 4
if stocks >= 10 and stocks < 15 then X = 3.5

Better would be a linear function that is bound by the min and max exposures you want per position.

This would be a big improvement. Consider the case of wanting to try to maintain a defined long or short exposure, regardless of the number of open positions, the ability to change position size, subject to certain constraints, is the only way to get there.
Results: Total score: 31 , # of Votes: 8 , Average: 3.9
28 (7)
3 (1)
Scores are calculated as (importance) × (# of votes), where importance ranges from 1 to 4.
Requested by: portfoliologic
On date: 02/28/13
Category: Simulation

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