Portfolio Trader - Volatility Adjusted Position Sizing Model

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jjjumbowkc
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Joined: 18 Mar 2015

Portfolio Trader - Volatility Adjusted Position Sizing Model

Postby jjjumbowkc » 18 Mar 2015

Hello,
I have one month free trial and I seriously think about buying this software. The Portfolio Trader seems to be very professional solution. However, due to lack of documentation I am not able to evaluate whether it is suitable for what I need.
Here is my problem:
I am interested in your terminology for True Dynamic Portfolio Backtesting. "It means that portfolio equity and the available capital are dynamically avaluated to every intrument, on every bar, in order to determine the available amount to be invested."

I would need to define a portfolio money management signal which has this formula:
(Maximal%ofCapitalPerPosition x PortfolioEquity) / DailyATR100 x BigPointValue

To clarify this formula let's show you an example of E-mini Russell 2000:
PortfolioEquity evolves at time. It is portfolio open equity.

Let's say I have $2 150 000 today. I get a signal of my trading strategy for E-mini Rusell 2000. I am willing to risk 0,2% capital per position. It means:
Maximal%ofCapitalPerPosition = 0,2% = 0,002
DailyATR100 is an Average True Range of daily bars 100 bars back. For E-mini Russsell 2000 =
for example 17.29
BigPointValue = 100

So I get a signal today so I can open this number of contracts:
(0.002*2150000)/(17.29*100)=2,48 contracts. And I need to round it down, it means = 2 contracts.

If you can help me with this and it will be possible to apply it for live trading I guarantee you I am going to buy Multicharts immediately.

Thanks in advance for your help and response.

orion
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Re: Portfolio Trader - Volatility Adjusted Position Sizing M

Postby orion » 18 Mar 2015

With Portfolio Trader you can do exactly what you have said you are looking to do. And much more!

jjjumbowkc
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Joined: 18 Mar 2015

Re: Portfolio Trader - Volatility Adjusted Position Sizing M

Postby jjjumbowkc » 18 Mar 2015

Nice, and can somebody from Multicharts help me to program that in EasyLanguage? Of course I would pay for this service.

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Henry MultiСharts
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Re: Portfolio Trader - Volatility Adjusted Position Sizing M

Postby Henry MultiСharts » 31 Mar 2015

Hello jjjumbowkc,

Please contact us directly if you are interested in a custom programming.

algosmart
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Re: Portfolio Trader - Volatility Adjusted Position Sizing M

Postby algosmart » 31 Mar 2015

Exactly what I was trying to achieve and needed guidance.
Even though I am a full time license holder, I want to see MC share the code for this mm method.
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Shahram
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Re: Portfolio Trader - Volatility Adjusted Position Sizing Model

Postby Shahram » 07 May 2019

Me too!

regtracer
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Re: Portfolio Trader - Volatility Adjusted Position Sizing Model

Postby regtracer » 13 May 2019

I think it's straight forward in MC:

qty = floor(Portfolio_Equity*0.01/(avgtruerange(30)*bigpointvalue))


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