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Just FYI, I got some pretty good results backtesting with the
following:
Capital = -20 ; //20% of Equity.
RiskCapital = .05*Capital ;
NumberOfShares = RiskCapital/(2.37*ATR(10)) ;
PositionSize = Max(-20,NumberOfShares * BuyPrice [i]) ;
I think this achieves what we initially wanted (volatility based
sizing with diversification of at least 5 stocks). I think there is
some subtle difference between this and what Ed proposed for
PositionSize yesterday but I'm not sure what it is (?).
In the above, the 2.37 was obtained from optimizing the stop multiple
for my system and my PositionScore was assigned based on volitility (
= ATR(5)/C ). Also MaxOpenPositions appeared to be optimimum when set
to 9.
Dan
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