Position Sizing as an Optimization Parameter?
Author: Carova
Creation Date: 2/22/2016 7:43 PM
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Carova

#1

2/22/2016 7:43 PM

Back in the ol' days (WLD4) it was possible to include the Position Sizing as an optimizable parameter when running the optimization.

Is it still possible to do this? I can't find any info in either the Documentation of searching the Forum. Thanks!

Vince
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Eugene

#2

2/23/2016 1:13 AM

Vince, check this out:

Wiki FAQ | Position Sizing, Extensions, Miscellaneous > Is it possible to optimize a PosSizer?

P.S. Sure the question popped up before. For example, here's a couple of related topics: Optimizable ATR/volatility position sizing,
PosSizer question: What function is used to generate percent of winners?
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Carova

#3

2/23/2016 10:52 AM

Thanks Eugene! Unfortunately I do not have the skill yet to develop my own custom PosSizer, but will look through the other examples that you provided to see if there are other options.

Vince
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