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Industry Weight

by QuantShare, 587 days ago
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The following money management script calculates the weight of the industry given the current open positions and orders and rejects any new order if the new weight would be higher than a specific threshold.

If you specify an industry weight of 50% then your portfolio will always have an industry concentration below 50%.
If you have only one "Bank" (industry) stock in your portfolio and a new order to buy another "Bank" stock comes in, it will rejected because the "Bank" industry would have a weight of 100%.
If you have four positions in your portfolio (one in the "Bank" industry and the others in the "Oil" industry) then a new "Bank" order will not be rejected because the new "Bank" industry weight would be 40% (2 / 5).

The script could be modified so that the industry weight check is performed based on the number of maximum position in the portfolio instead of the current number of open positions.

Note that in order for this money management script to work, you need to have the industry field filled for all your stocks. You can do that manually, import your own list of stocks with industry data or use the auto-manage symbols feature of QuantShare.

You can find more info about this feature and how to use it in the following blog post:
http://www.quantshare.com/sa-583-let-quantshare-manage-your-list-of-securities



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Type: Advanced Money Management

Object ID: 1613


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