blotter updatePortf
On 11/06/2016 12:10 PM, Cameron McLean wrote:
Is there example code you can share or an existing demo in quantstrat that shows how to update the portfolio equity curve and size future orders based on the current amount?
Look at any of the rebalancing demos. There are rebalancing versions of the Faber and macd demos, at least. These rebalance (adjust max trade size) periodically based on current portfolio equity.
A simple example would be something similar to the faber demo where he invests 20% of equity in each of the 5 asset classes (currently the faber demo buys and sells lots of 500 shares) or a more complex example could be using a indicator such as ATR to size trades based on risk.
Sizing based on risk would be done via a custom order sizing function that used the indicator value to adjust trade size. I believe Ilya has examples of this on his blog. Regards, Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock