This is a trading item or a component that was created using QuantShare by one of our members.
This item can be downloaded and used by QuantShare Trading Software.
Trading items are of different types. There are data downloaders, trading indicators, trading systems, watchlists, composites/indices...
You can use this item and hundreds of others for free by downloading QuantShare.
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While backtesting a portfolio or trading system, trading signals and position sizing rules are defined at startup and cannot be changed or updated dynamically during the backtesting process. The money management tool allows you to create scripts for different events that are executed during the backtesting and therefore it allows you to interact and dynamically update portfolio settings and rules.
This money management script, for example, tracks the performance of the portfolio for the previous year (from the equity curve) and reduces the exposure and the maximum number of positions in the portfolio when the performance metric drops below zero. The active positions are scaled using a market-at-open order, which means that a scale-out order (Sell 50%) is generated for each position of your portfolio.
When the portfolio gain becomes positive (One year rate of return of the equity curve is higher than zero), the default portfolio settings are restored (100% of money invested and the original number of position is set).
The different strategy settings (Portfolio equity curve performance, exposure and number of positions) can be optimized using the "Optimize" variable of the "OnStartSimulation" event of the money management script.
For more info, read this post: Money Management: Optimize a trading system
