Hello,
In Portfolio Trader documentation I read:
Portfolio strategies can enter, scale-in, scale-out, or exit positions based on the portfolio’s overall performance
How to get this working and achieve a dynamic allocation ?
For entries I can use pmms_strategy_set_entry_contracts and let the signal enter with the correct quantity.
For exits I can use pmms_strategy_close_position
For scale-out I can use pmms_strategy_close_position_partial
But for scale-in... I have no clue
Thanks for your help !
Portfolio dynamic allocation
- Anna MultiCharts
- Posts: 560
- Joined: 14 Jul 2017
- Has thanked: 42 times
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Re: Portfolio dynamic allocation
Hello, Mydesign!
There’s a setting for pyramiding:
https://www.multicharts.com/trading-sof ... ion_Limits
In the code of your trading strategy you will also need to implement the conditions for the required number of entry orders for the required number of contracts.
If you need Money Management to control your positions additionally, you can do that with the help of the words that you specified + other PMM keywords:
https://www.multicharts.com/trading-sof ... Management
Also keep in mind that the money allocation algorithm of Portfolio itself may cut the size of your positions if the current Portfolio balance is not sufficient for opening positions of the desired size.
There’s a setting for pyramiding:
https://www.multicharts.com/trading-sof ... ion_Limits
In the code of your trading strategy you will also need to implement the conditions for the required number of entry orders for the required number of contracts.
If you need Money Management to control your positions additionally, you can do that with the help of the words that you specified + other PMM keywords:
https://www.multicharts.com/trading-sof ... Management
Also keep in mind that the money allocation algorithm of Portfolio itself may cut the size of your positions if the current Portfolio balance is not sufficient for opening positions of the desired size.
Re: Portfolio dynamic allocation
Thank you Anna,
I have to say that in general we lack a good documentation. The wiki is very light, and this forum has not enough participants to make it a helpfull ressource. As for the provided example of Portfolio Strategies (rotational, ranking, etc.), they are way beyond basic needs of most MC users. We lack a simple case study of basic pmm strategy. Please keep in mind that Easy Language users are NOT developers by nature...
So you confirm that there is no dedicated pmm keyword for scaling-in (when one actually exists for scaling-out) or simple way to control a realtime position exposure from the MM ?If you need Money Management to control your positions additionally, you can do that with the help of the words that you specified + other PMM keywords
I though that portfolio settings were overridden and/or ignored if we use a pmm signal instead... could you elaborate ?Also keep in mind that the money allocation algorithm of Portfolio itself may cut the size of your positions if the current Portfolio balance is not sufficient for opening positions of the desired size.
I have to say that in general we lack a good documentation. The wiki is very light, and this forum has not enough participants to make it a helpfull ressource. As for the provided example of Portfolio Strategies (rotational, ranking, etc.), they are way beyond basic needs of most MC users. We lack a simple case study of basic pmm strategy. Please keep in mind that Easy Language users are NOT developers by nature...
Re: Portfolio dynamic allocation
I would really like to get this question solved: how to have pmms altering open positions exposure (in both ways = increase or decrease number of contracts) ? In other words, how to make a rebalancing of portfolio open positions ?
Again, I read in the wiki:
Understanding Portfolio Money Management Signals
PMMS was designed to:
- Select the instrument for investing a certain amount of money.
- Calculate the position size of each instrument.
- Force a position to be closed for a certain instrument.
- Change position size for a certain instrument. <---- How ?
- Prevent opening positions for a certain instrument.
- Allocate equity between instruments.
Right now I only see keywords for scaling-out or closing positions... so what about scaling-in ?
Again, I read in the wiki:
Understanding Portfolio Money Management Signals
PMMS was designed to:
- Select the instrument for investing a certain amount of money.
- Calculate the position size of each instrument.
- Force a position to be closed for a certain instrument.
- Change position size for a certain instrument. <---- How ?
- Prevent opening positions for a certain instrument.
- Allocate equity between instruments.
Right now I only see keywords for scaling-out or closing positions... so what about scaling-in ?
Re: Portfolio dynamic allocation
No one ?
Oh well, the documentation is just misleading ! It's like advertising that a screwdriver can fix a hair-dryer. It might be true, but just useless if you don't know how to...
Oh well, the documentation is just misleading ! It's like advertising that a screwdriver can fix a hair-dryer. It might be true, but just useless if you don't know how to...
- Anna MultiCharts
- Posts: 560
- Joined: 14 Jul 2017
- Has thanked: 42 times
- Been thanked: 141 times
Re: Portfolio dynamic allocation
Mydesign,
Scaling into a position is possible only by sending more orders. The order size in portfolio is regulated by:
- the strategy settings,
- strategy’s script,
- pmms keywords.
The pmms_strategy_set_entry_contracts keyword redefines the quantity of contracts that was calculated by the strategy. You decide if the order size should be increased or decreased.
– money management signals cannot generate entry order, they only can regulate the size of the entry orders generated by your main trading signal and restrict some orders from being sent to the broker at all.Right now I only see keywords for scaling-out or closing positions... so what about scaling-in?
Scaling into a position is possible only by sending more orders. The order size in portfolio is regulated by:
- the strategy settings,
- strategy’s script,
- pmms keywords.
The pmms_strategy_set_entry_contracts keyword redefines the quantity of contracts that was calculated by the strategy. You decide if the order size should be increased or decreased.
Re: Portfolio dynamic allocation
Thank you Anna, that confirms what I suspected: the pmms by itself cannot fully modify open position quantity.
So one needs a dedicated signal script to re-allocate equity between open positions, independantly from strategie's entry signals. So far my attempts to build such mechanism have just failed...
So one needs a dedicated signal script to re-allocate equity between open positions, independantly from strategie's entry signals. So far my attempts to build such mechanism have just failed...
Re: Portfolio dynamic allocation
Hi All,
Late to this thread but just wondered if someone could clarify what the advantage/core features of using the Portfolio Trader are WITHOUT specifying any Money Management Signal?
What does it do? Just run each strategy/instrument independently or is there some core portfolio functionality?
Thanks for the clarification.
Regards,
A
Late to this thread but just wondered if someone could clarify what the advantage/core features of using the Portfolio Trader are WITHOUT specifying any Money Management Signal?
What does it do? Just run each strategy/instrument independently or is there some core portfolio functionality?
Thanks for the clarification.
Regards,
A