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                                                   Example of Money Management

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swalk10
2010-04-26 17:23:44


Would you kindly please post an example of how to code money management rule. My objective is to:
* Test the mix of long and short equity of open positions in the current (or last) bar
* Based on other tests above, enter market neutral balancing positions orders (e.g., buy equal amount of sp500 $s to hedge open positions)
* In Ranking system execution, enter with lower amounts of equity $'s depending if this is the 1st, 2nd or 3rd position being filled
(lower equity per position)

Thanks for all of your help in unlocking the power of this platform



QuantShare
2010-04-29 07:23:32

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- To mix long and short position, just select "Long & Short" next to "System Type" in the "Update a trading system" form.
- Regarding the other questions, I will post next week a money management script that explains all this.



swalk10
2010-04-29 08:17:45

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Looking forward the the upcoming post, thanks.

To clarify on the long/short: I have successfully used the long/short setting in the trading system.
That part of the question relates to being able to, in the script logic, capture the open $ equity long and short, separately and create next logic script steps based on that outcome.



QuantShare
2010-05-24 08:20:18

  0

Best Answer
Here is a money management script you can use to hedge your portfolio
Hedge a portfolio strategy





Hedge a portfolio strategy (by QuantShare, uploaded several months ago)
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swalk10
2010-05-24 10:53:59

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Looks great, will let you know as I work with it.
Thanks!



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