Back

Dynamic Position Sizing Based on Risk/Risk Tolerance?

I understand dynamic position sizing can somewhat be accomplished with SetHoldings(), but this would only set the position size relative to the buying power without taking into account our risk appetite for that trade or where our stop order would be for that position. 

Would it be possible to have a position size thats based on where the stop order is? 

In other words; for example, if I want to limit risk for each trade to an 1% of my equity, how does one accomplish that?

Update Backtest







0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hi Vincent,

Our order types enable users to specify a number of shares to purchase/sell. To limit our risk to 1% of the portfolio value, we just need to set our stop market order accordingly.

risk = self.Portfolio.TotalPortfolioValue / 100
shares = 100
entry_price = self.MarketOrder("SPY", shares).AverageFillPrice
stop_loss_price = (entry_price * shares - risk) / shares
self.StopMarketOrder("SPY", -shares, stop_loss_price)

This is also covered in the Trailing Stop Boot Camp tutorial. See the attached backtest for a full working solution.

Best,
Derek Melchin

0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Loading...

This discussion is closed