Replies: 1 comment
-
I have not tried dynamic optimization with that small of an account, but that is more or less what I would expect. The point of DO is to allow small accounts to consider a large number of possible instruments in which to take a position, but it's not magic. The "optimal" number of positions at any given time will still be limited by small account size. |
Beta Was this translation helpful? Give feedback.
0 replies
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Uh oh!
There was an error while loading. Please reload this page.
Uh oh!
There was an error while loading. Please reload this page.
-
I've been running a paper trading account for several months now with IB. They give you $1 million to play with and the system generally had 20+ positions.
I've been running backtests for far humbler account sizes of 50-100k USD using dynamic optimization and parameters similar to what Rob has in the repository and looking through the optimized_positions DF and noticed that for the past 1-2 years the smaller system often only has 1-4 positions. For 50k nominal trading capital 1-2 positions is very common. Most of the posters here seem to have larger account sizes, but are there any others that have run a dynamic system with 50-100k USD and have seen the same? I'm just trying to make sure that this isn't something wrong with my config. I wouldn't think it likely since I've tried changing parameters around quite a bit and behavior is the same; # of optimized positions scales with capital. Thanks!
Beta Was this translation helpful? Give feedback.
All reactions