100% Position Sizing on Rotation System
Author: mjj3
Creation Date: 11/20/2013 2:46 PM
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mjj3

#1

11/20/2013 2:46 PM

For some reason when I run the RSI Roatation system it doesn't seem to be using all of the capital. I set it up to use Portfolio Simulation 100% equity and just choose the top 1 asset. Any ideas?
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Eugene

#2

11/20/2013 3:58 PM

It is using all of the capital, but some trades can not be taken. That reason is explained in the User Guide: Strategy Window > Backtesting Strategies > 100% of Equity Sizing.

Workarounds were mentioned so frequently on the forums that I should have added them to the FAQ. For example:

Portfolio test with 100% equity has insufficient capital
Problems with Buy and Hold Strategy for SPY using 100% of Equity before 1/1/2007
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Eugene

#3

11/21/2013 2:56 AM

Finally, added it to the FAQ:

FAQ | Position Sizing, Extensions, Miscellaneous

"I'm using 100% Equity position sizing and strategy doesn't seem to use all capital and/or there are trades not included due to insufficient capital."
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mjj3

#4

11/22/2013 9:58 AM

Thanks guys. I was actually doing everything right but it was the "Limit a Position's Quantity to a Percentage of the Bar's Volume" that was messing me up.

Lastly, I remember reading an example about how to pass a strategy parameter through a back door to a position sizer. I've been searching for it but can't find it again. Do you happen to have a link to that example?
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Eugene

#5

11/22/2013 10:23 AM

QUOTE:
Lastly, I remember reading an example about how to pass a strategy parameter through a back door to a position sizer. I've been searching for it but can't find it again.

It's in the same FAQ referred above in post #3.
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