This is a request and a revelation (to me, at least). I just discovered that Sell Rules return a numerical value, 1 or 0 for logical expressions such as Rank <99. The significance is that one can write a rule like [ 0.333 * (Rank<99) ] that will sell a third of the holdings if Rank<99.

I like this capability a lot. In management of my real world portfolio I often place several partial stops on the same holding, for example a Trailing Stop and the a normal Stop tied to a specific price.

Unfortunately, as implemented in Port123, the Sell Rule is tied to the current, not initial, holding. Thus the example above would sell 1/3 at the first rebalance, (1/3)*(2/3) at the second, (1/3)*(2/3)*(2/3) at the third, and so on, until the Sim eventually crashes when it tries to sell a holding that's dwindled to less than the commission.

My request is for consideration of two changes:
(1) Have the numerical expression operate on the initial holding rather than current, and
(2) Allow negative proceeds from a sale (which would create short sales).

Incidentally, Buy rules seem to be treated differently, operating as all-or-nothing, but perhaps the product of the expression values rather than the logical AND could be implemented to allow fractional buys.
Results: Total score: 41 , # of Votes: 12 , Average: 3.4
You will be able to view details once you have voted.
Requested by: jerrodmason
On date: 06/25/05
Category: Portfolio

3 comments