(Sorry, long post here!)
I'm trying to understand how the allocation of capital works with the Portfolio Trader as it doesn't seem to be working as I'd expect.
I've created a simple buy and hold strategy to test this using a collection of stocks that simply buys as soon as the Barnumber is >= 0.
I use the Portfolio Trader reserved words for determining the capital. Here is my sample code:
Code: Select all
Variables: NumContracts(0), PercentPerTrade(3);
If GetAppInfo(AiIsPortfolioMode) = 1 then
Numcontracts = (Portfolio_Equity * (PercentPerTrade / 100)) / Close
Else
Numcontracts = 1000 / Close;
If BarNumber >= 0 Then Buy NumContracts Shares Next Bar Market;
If LastBarOnChart Then SetExitOnClose;
I then use these settings in Portfolio Settings:
Exposure (% of Portfolio Capital): 100%
Max % of Capital at Risk per Position: 100%
Initial Capital: 100,000
Margin Value: 100%
Max Potential Loss: 100%
When I load the strategy I can see that it indeed allocates the 3% of the value for each trade. But, it stops adding new stocks after only 19 stocks have been taken - so 57% of capital only. I thought perhaps the equity curve had dropped significantly, but no, this didn't happen and in fact 19 stocks is all that the strategy ever takes.
So, I thought I would change the Max % of Capital setting from 100% to 3% (even though I've already set 3% in the strategy). Now, every stock has been added to the strategy (despite the lower %) BUT the amount of capital per trade is wrong (by a multiple of about 0.5x); it completely ignores my number of shares setting in the strategy.
I think I have probably misunderstood how the portfolio's equity is used against the number of shares traded in the strategy? How does the Max % of Capital relate to what is specified in the strategy?
Any ideas please?
Many thanks,
Peter.