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Automatic Position Sizing
Started:October 28th, 2016 (10:34 AM) by GreenMound Views / Replies:88 / 2
Last Reply:October 31st, 2016 (09:04 PM) Attachments:0

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Automatic Position Sizing

Old October 28th, 2016, 10:34 AM   #1 (permalink)
Trading Apprentice
Santon, Isle of Man
 
Futures Experience: Advanced
Platform: TradeStation
Favorite Futures: Emini
 
Posts: 2 since Apr 2016
Thanks: 1 given, 0 received

Automatic Position Sizing

Good morning,

I am looking to automate my position size in TradeStation to maintain a constant X% investment in any given market. Ultimately I will be using this to back test strategies for weighted portfolios, and then active trade.

I found the following as an example:

Equity = Round((Capital + NetProfit + OpenPositionProfit),0);
Num_Cts = Round((PercentAllocationPerTrade * Equity) / {XYZ},0);

where I had intended to use the Initial Margin as XYZ. Is there a way to generically 'call' the initial margin on a futures contract such that the same code can be used on all contracts?

Thank you in advance for any advice you may be able to offer.

GM

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Old October 30th, 2016, 02:56 PM   #2 (permalink)
Trading Apprentice
Denver CO USA
 
Futures Experience: None
Platform: NT, JForex, Mql4 & 5
Broker/Data: FXCM
Favorite Futures: Forex
 
Posts: 23 since Sep 2016
Thanks: 0 given, 9 received

Trade Station uses LUA to program custom features. You would probably need to do it in that language. It is a scripting language, so fairly easy to learn.

I thought about using it for some of my strategies as I like the TS interface better than metatrader, but its not compiled so it won't be as fast as JForex/Java or Mql Metatrader.

Cheers
Mary

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Old October 31st, 2016, 09:04 PM   #3 (permalink)
Trading Apprentice
Denver CO USA
 
Futures Experience: None
Platform: NT, JForex, Mql4 & 5
Broker/Data: FXCM
Favorite Futures: Forex
 
Posts: 23 since Sep 2016
Thanks: 0 given, 9 received


Oh, I forgot that Trade Station also uses Easy Language to program too.

GL
Mary

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