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Implementing Position Sizing in OVest
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JimDean
Posted 6/3/2014 11:17 AM (#5885)
Subject: Implementing Position Sizing in OVest



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At Ed's request, I've put together a spec for integration of Position Sizing in OVest. He had that as a "colored block" in his slide re near term OVest improvements at the end of the Bash presentation on Monday.

I'm attaching the spec, for anyone who might be interested.

I gave a very comprehensive presentation on Sat afternoon to about 35 people at the hotel, which explained how to do SmartSizing and LiquiTurns filtering, complete with robust OScripts for use in OVest and OT. So, the groundwork to utilize this has been laid.

The spec does not address how this needs to be folded in to the new OVest Portfolio Builder+Balancer (PBB) that Steve and Mark have developed, but it's clear that it should be part of that, since it potentially has a huge impact on the Equity curve. So, I've copied them with this, and hope it will be folded in - ie an OScript field for the user to spec a rule for position sizing.


Thread moved by JimDean on 8/4/2014 8:48 AM from Markets & Methods > OmniVest, Money Mgmt & Risk Control > Implementing Position Sizing in OVest


Attachments
Attachments Adding Position Sizing to OVest Architecture.rtf (10KB - 55 downloads)
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