Crypto position sizing - fractional tokens buys in backtests

smhuggins · Postby **smhuggins** » 10 Aug 2021

Hello

Wondering if you can help please with fractional trading with crypto in portfolio backtester. This is based on spot tokens not futures.

Am using Binance data feed, and I want to accurately calculate position sizing (and performance metrics) in backtests in Portfolio Trader.

I've been told that Portfolio Trader does not allow buying fractional tokens, and that I need to use BigPointValue to reference and calculate the price Ratio for each crypto token.

I get this is perhaps a basic question, but struggling to find helpful syntax around this.

Normal code for stocks for a very basic position sizing formula is:

Code: Select all

input: PcntEquity ( 6.5 ) ;
var: positionSize  ( 0 ) ;  
 
Positionsize = ( Portfolio_Equity * PcntEquity ) / ( ( close ) / 100) ;

Could you assist in incorporating BigPointValue ?

thank you

Vlada MultiCharts · Postby **Vlada MultiCharts** » 13 Aug 2021

Hello,

To calculate the position for Binance you can use the following formula as an example:

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Positionsize = PositionCost / close / BigPointValue ;

You can then round the result to the nearest whole number.

Crypto position sizing - fractional tokens buys in backtests

Crypto position sizing - fractional tokens buys in backtests

Re: Crypto position sizing - fractional tokens buys in backtests