Portfolio dynamic allocation

Questions about MultiCharts and user contributed studies.
Mydesign
Posts: 177
Joined: 15 Feb 2017
Has thanked: 32 times
Been thanked: 39 times

Portfolio dynamic allocation

Postby Mydesign » 18 Dec 2019

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 :roll:

Thanks for your help !
Last edited by Mydesign on 09 Jan 2020, edited 1 time in total.

User avatar
Anna MultiCharts
Posts: 560
Joined: 14 Jul 2017
Has thanked: 42 times
Been thanked: 140 times

Re: Portfolio dynamic allocation

Postby Anna MultiCharts » 24 Dec 2019

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.

Mydesign
Posts: 177
Joined: 15 Feb 2017
Has thanked: 32 times
Been thanked: 39 times

Re: Portfolio dynamic allocation

Postby Mydesign » 27 Dec 2019

Thank you Anna,
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
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 ?
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 though that portfolio settings were overridden and/or ignored if we use a pmm signal instead... could you elaborate ?

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...

Mydesign
Posts: 177
Joined: 15 Feb 2017
Has thanked: 32 times
Been thanked: 39 times

Re: Portfolio dynamic allocation

Postby Mydesign » 28 Dec 2019

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 ?

Mydesign
Posts: 177
Joined: 15 Feb 2017
Has thanked: 32 times
Been thanked: 39 times

Re: Portfolio dynamic allocation

Postby Mydesign » 09 Jan 2020

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...

User avatar
Anna MultiCharts
Posts: 560
Joined: 14 Jul 2017
Has thanked: 42 times
Been thanked: 140 times

Re: Portfolio dynamic allocation

Postby Anna MultiCharts » 28 Jan 2020

Mydesign,
Right now I only see keywords for scaling-out or closing positions... so what about scaling-in?
– 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.

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.

Mydesign
Posts: 177
Joined: 15 Feb 2017
Has thanked: 32 times
Been thanked: 39 times

Re: Portfolio dynamic allocation

Postby Mydesign » 28 Jan 2020

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...

ascales
Posts: 36
Joined: 06 Jan 2017
Has thanked: 4 times
Been thanked: 2 times

Re: Portfolio dynamic allocation

Postby ascales » 29 May 2020

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


Return to “MultiCharts”