Automatic Position Sizing

October 28th, 2016, 09:34 AM

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

October 30th, 2016, 01:56 PM

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

October 31st, 2016, 08:04 PM

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

GL
Mary

Automatic Position Sizing

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Automatic Position Sizing