You could always control the number of positions taken by writing custom backtester code to ignore signals under undesirable conditions (mid level), or to explicitly not take positions (low level).
Alternatively, you could leave the max positions at a very high number (such that it is never filled) and instead alter the position size to allow taking more, smaller positions when there are many signals and fewer, larger positions when there are not as many signals. Adjusting PositionSize has worked well for me. The caveat being that even when there are very few signals, you don't want to over-invest in any one position. Likewise, it might be prudent to assume that all positions are correlated when taking on many smaller simultaneous positions. Mike --- In [email protected], "mbluhm2001" <mbluhm2...@...> wrote: > > I would like to change the MaxOpenPositions variable each day based on the > some indicators. I've tried but it seems that this value has to stay fixed > for the backtest. Is this correct? > > An idea would be to open more positions when the VIX is high and less when > the VIX is low. This would help since most likely fewer stocks will get > triggered (i'm buying on limit down from the open) and will allow me to > utilize my money over the fewer stocks. > > Thanks, > Mark >
