portfolio equity for position sizing in backtesting  [SOLVED]

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alko
Posts: 23
Joined: 01 Sep 2016

portfolio equity for position sizing in backtesting

Postby alko » 08 Apr 2018

Hi all,

How can i appropriately size strategy position depending NOT on the strategy equity but rather on the portfolio equity.
Thus using InitialCapital + netprofit + openpositionprofit will not work. Also, GetRTAccountEquity does not work in backtesting.
What is the appropriate easylanguage code for getting portfolio equity, if such exists.

Thank you

Zheka
Posts: 223
Joined: 13 Jan 2016
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Re: portfolio equity for position sizing in backtesting

Postby Zheka » 09 Apr 2018

Portfolio_NetProfit+Portfolio_OpenPositionProfit - assuming you use a Portfolio Trader (look under "Portfolio_..." sections in PL Editor Dictionary).

And you do need to use PT to backtest position sizing for a portfolio.

alko
Posts: 23
Joined: 01 Sep 2016

Re: portfolio equity for position sizing in backtesting  [SOLVED]

Postby alko » 20 Apr 2018

yes, it did work fine in backtesting. thank you


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