I’m interesting for a specific trading strategy to size trades with the following position strategy :
- apply Kelly Criterion possizer and define the trade size
- apply Percent Volatility possizer and if the trade size is greater that previous result, apply the previous result
- apply D-Var Position sizing possizer and if the trade size is greater that previous result, apply the previous result
- finish with Position options possizer if the trade size is greater that previous result, apply the previous result

As I don’t want to re-code every of your possizer in a global private possizer, I would like to know if there is a different way to do that ?

As you might already know, any PosSizer class must override the SizePosition method to return the number of shares for the next Position. Thereby a PosSizer class, be it D-VaR or % Volatility, can be instantiated from another PosSizer and its SizePosition method can be called to obtain the share size.

Disclaimer: I have not tested it, it is unsupported, off the top of my head I am not sure how will you deal with reading/changing the PosSizer settings, and did I mention it is unsupported?

Thank you very much !