Partial exits in MM Strategy for Portfolio
Posted: Apr 28 2016
This is a follow up to the thread created a year ago: viewtopic.php?t=47676
I figured I'll give the Portfolio feature another chance as the problem in the previous thread is supposed to be resolved, but I quickly found another limitation that have been left out - the feature to adjust position size for exits in the same way as for entries.
Consider a long only ranking strategy, that ranks 4 markets and invests 40% in rank 1, 30% in rank 2, 20% in rank 3 and 10% in rank 4. In the strategy signal we don't know what position size we want, as it depends on that particular markets rank in relation to the others, hence we can't specify the position size here. We can only create a sell order, with the intention of adjusting the order size in the MM signal.
Once we're in the MM signal, after the markets have been ranked, this is when we know what position size we want. Adding to a signal (if the rank has improved) is no problem as we set AllowEntriesLong = true and specifies the difference between the desired and current position with EntryContracts.
If we need to decrease the position however, there is no equivalent to EntryContracts for Exits (and EntryContracts doesn't work for exits). When the sell order is allowed through it closes the full position, and then next bar reopens the position to the desired size. Note that specifying the size of the sell order in the strategy signal is not an option since we don't know the size at this time.
How can I place partial exits via the MM signal?
I figured I'll give the Portfolio feature another chance as the problem in the previous thread is supposed to be resolved, but I quickly found another limitation that have been left out - the feature to adjust position size for exits in the same way as for entries.
Consider a long only ranking strategy, that ranks 4 markets and invests 40% in rank 1, 30% in rank 2, 20% in rank 3 and 10% in rank 4. In the strategy signal we don't know what position size we want, as it depends on that particular markets rank in relation to the others, hence we can't specify the position size here. We can only create a sell order, with the intention of adjusting the order size in the MM signal.
Once we're in the MM signal, after the markets have been ranked, this is when we know what position size we want. Adding to a signal (if the rank has improved) is no problem as we set AllowEntriesLong = true and specifies the difference between the desired and current position with EntryContracts.
If we need to decrease the position however, there is no equivalent to EntryContracts for Exits (and EntryContracts doesn't work for exits). When the sell order is allowed through it closes the full position, and then next bar reopens the position to the desired size. Note that specifying the size of the sell order in the strategy signal is not an option since we don't know the size at this time.
How can I place partial exits via the MM signal?