ROR as Benchmark

Modified on 2011/06/13 09:45 by Eugene — Categorized as: PosSizers

The idea behind this PosSizer - to use period ROR (rate of return) as a benchmark for percent of equity - was suggested by Michael Black.

If the system's equity change (aka ROR) over N bars is less than or greater than some percentage, the initial position size will be changed according to a Factor % (for example, the factor of 10% will increase the initial 10% size to 11%.) Up to 4 such rules can be defined to express equity behavior over different time spans (e.g. short-term, long-term etc.)

Alternatively, rather than to size positions as a response to percentage of portfolio change in N bars, you can restrict the number of open positions allowed but keep size the same, for example, to have greater exposure to higher priority signals.