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Submitted by: Brian Peterson
Assigned to: Joshua Ulrich R-Forge link
quantstrat currently has two default order sizing functions:
osNoOp (no operation, tests for errors only, otherwise returns the quantity requested)
osMaxPos (allows leveling into positions up to some maximum position)
We should add a function of functions to do order sizing based on account equity.
At it's simplest, I think that this would do sizing based on either initEQ (stored as an attr in the Account), or on the current endEq (if it has been updated by a call to updateAcct)
I suppose several other options could make sense, like handling weights to apply. This could then be used for either true weight-based allocation (think portfolio optimization ala PortfolioAnalytics or LSPM), or for volatility weighting (per the original Turtles strategy, or similar).
Cheers,
Brian
The text was updated successfully, but these errors were encountered:
Submitted by: Brian Peterson
Assigned to: Joshua Ulrich
R-Forge link
quantstrat currently has two default order sizing functions:
osNoOp (no operation, tests for errors only, otherwise returns the quantity requested)
osMaxPos (allows leveling into positions up to some maximum position)
We should add a function of functions to do order sizing based on account equity.
At it's simplest, I think that this would do sizing based on either initEQ (stored as an attr in the Account), or on the current endEq (if it has been updated by a call to updateAcct)
I suppose several other options could make sense, like handling weights to apply. This could then be used for either true weight-based allocation (think portfolio optimization ala PortfolioAnalytics or LSPM), or for volatility weighting (per the original Turtles strategy, or similar).
Cheers,
The text was updated successfully, but these errors were encountered: