How to optimize the number of positions in a trading system
Updated on 2012-01-14 03:50:00
The maximum number of positions as well as several other settings can be easily optimized in QuantShare. You can for example set different values for the number of positions and the trailing stop level and QuantShare will backtest the different trading system combinations and tell you which one performs best.
The number of positions is the maximum number of securities a portfolio/trading system can hold at the same time.
- Open an existing trading system or create a new one (How to create a trading system)
- In "Create a trading system" form, click on the "Optimize" icon (located at the top of the control)
- Click on "Optimization" button
- In the "Optimization" grid, click on "Add item" to create a new variable
- Double click on the cell under "Variable" column and select "Number of symbols"
- Set, for example, 5 as "Min" value, 20 as "Max" value and "5" as step
- Click on "OK" to save the trading system optimization settings
- Click on "Create Trading System" or "Update a Trading System"
To backtest several trading systems with different maximum number of positions, select your system then click on "Optimize".
This will generate four trading systems; each one has a distinct "number of positions" value (5, 10, 15 or 20).