Position Sizing

damianoakley

Established member
542 57
Please could someone help with a Tradestation query?

I am currently programming my intraday trading strategy into Tradestation with the intention of setting it to automatically trade for me throughout the day.

When setting the number of shares/contracts to buy or sell on each trade, I want this to be 1% of my equity / trading capital. In Tradestation, I can only see a way of making each trade a set number of shares, eg - 100 shares on every trade. How do I set it so that it will vary my position size as a percentage of my available equity?


Many Thanks in advance for your help.
 

bdholmes

Junior member
34 1
I investigated automatic position-size changing in Tradestation 2000i and came to the conclusion that there is no easy and reliable way of doing it. The major problem is that Tradestation's idea of what your current equity is will never be very accurate. Although you can program commission accurately, Tradestation will never know how much slippage you encounter on each trade, never mind trades that never fire due to PC problems, Internet problems, power problems, bugs in your EasyLanguage, etc, etc. I figured that I will almost always be able to check my trading equity at the end of each day, so by far the easiest solution is to manually change the position-sizes in my EasyLanguage as my equity increases and decreases.

This is fine for the moment as my systems don't trade more than a few times a day maximum, so it's not as if I'm going to kamikazee to oblivion on a bad day without intraday auto position-sizing, however I'd be interested to hear from anyone who has managed to somehow feedback into Tradestation things like slippage and failure to fill from your broker.
 
 
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