12-20-2022, 02:54 AM
Hi guys!
New to Alera but looks like a great platform. I'm using Amibroker to generate my signals and position sizing.
My question is about the strategy allocation. In the documentation you mention that following:
Then you state that you should setup the custom lot size and max positions in order not to exceed that allocation. That assumes you want equal position sizes e.g. 10 positions of 10% each. In my case, I'm using Van Tharp's percent volatility sizing. That obviously means my position sizes will vary and I don't know how many positions it will take to fully utilize the allocation. When I ran my strategy with max positions set to 20. It opened 20 positions and the total invested exceeded the allocation.
Can you please explain what's the purpose of the allocation if it doesn't restrict the executions? And how would I configure my settings to accomodate my variable position sizing?
Thank you!
New to Alera but looks like a great platform. I'm using Amibroker to generate my signals and position sizing.
My question is about the strategy allocation. In the documentation you mention that following:
Quote:Your Strategy Allocation value does not prevent orders from being placed if they will make the strategy exceed its allocation.
Then you state that you should setup the custom lot size and max positions in order not to exceed that allocation. That assumes you want equal position sizes e.g. 10 positions of 10% each. In my case, I'm using Van Tharp's percent volatility sizing. That obviously means my position sizes will vary and I don't know how many positions it will take to fully utilize the allocation. When I ran my strategy with max positions set to 20. It opened 20 positions and the total invested exceeded the allocation.
Can you please explain what's the purpose of the allocation if it doesn't restrict the executions? And how would I configure my settings to accomodate my variable position sizing?
Thank you!