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No Profit/Loss Sharing

No Profit/Loss Sharing manages Position sizing by initially allocating the same dollar size to each symbol. Thereafter, profits (losses) are added (subtracted) from a symbol's initial allocation and the result is the size for the next Position for that symbol. Consequently, the instruments that perform better will continually be sized greater than those that underperform.


Single Position Mode

Single Position Mode assumes that your script will hold one Position per symbol at a time. Consequently, the full allocation for the symbol is used for each Position. If the script creates simultaneous Positions for the same symbol, they will be rejected for lack of allocation.

Multi-Position Mode

If your script creates multiple positions, this mode is very versatile. First, like single position mode, the total dollar size of all symbol positions cannot exceed its allocation (plus closed profit/loss). However, by passing a value between 0 and 1 in the Position.Tag, you can assign a percentage of the allocation to each Position. For example, if the symbol buys two equal lots, assign 0.5 to the Position.Tag after creating a Position. Nonetheless, you can can assign unequal percentages to each symbol, keeping in mind that the total of all positions cannot exceed 1.0. If it does, it simply means the Positions will be rejected for insufficient available allocation.

Note! Since Positions cannot be created for Alerts (signals on the last bar of the chart), you cannot assign a percentage to Position.Tag. Consequently, in the case of an Alert, assign the percentage to the Bars.Tag object.

% of Equity Sizing Constraints

In a simulation, sizing for the outperforming instruments can grow very large while the underperformers may never get a chance to trade again. The constraints allow you to limit the dollar size of Positions as a percentage of equity, likewise, they allow you to specify a minimum allocation as a percentage of current equity.

For example, assume (as shown in the image)
  • $10,000 initial allocation per symbol
  • 10%/2% max/min allocation

Further assume that during a 5-year simulation, total equity increased to $300,000 and that the allocation of say, AAPL, increased to $40,000. The setup would limit Position sizing allocation in AAPL to $30,000 ($300,000 * 10%). Likewise, new Positions for the worst performing symbols would be assigned a minimum allocation of $6,000 ($300,000 * 2%).

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