number of simultaneously open positions". I am backtesting a
rotational trading strategy of weekly periodicity with the following
money management parameters:
$100,000 in Starting Equity
SetPositionSize(20,spsPercentOfEquity)
SetOption("WorstHeldRank",5)
SetOption("MaxOpenPositions,5)
90% Market Exposure is seen with "MaxOpenPositions" >= 5 as expected.
However, increasing the "MaxOpenPositions" above "5" actually
decreases the number of trades taken. For example:
In the first half of 2005:
Max Open Positions = 5 gave rise to 19 trades while
Max Open Positions = 20 gave rise to only 6 trades.
("MaxOpenPositions" >= "20" returned approximately the same number
of executed trades).
Running Explorations on each week in the first half of 2005 with my
PositionScore algorithm from this strategy identified 29 weekly
trading signals, so trading signals were indeed available. I can
understand how some of these signals might not have been taken due
to lack of available cash. But I haven't been able to understand
why allowing a greater number of "MaxOpenPositions" actually
decreases trading activity. There is probably a simple explanation,
but I would appreciate it if someone could enlighten me.
Thanks for any insight you can provide.
With kind regards,
Fred
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