System Position Sizing Equity:  

All equity methods start out with the same Test Starting Equity value entered into the Global Equity Management parameter field.  This Global Equity Management section and the adjustments made by the Allocation Slider determine how the system is funded.

 

Each selectable equity method in this module will create a different result in reported performance.  It changes because each equity method applies trade results to each equity method differently.  When the Equity Management section is using values in the Draw-Down Threshold and Draw-Down Adjustment fields, those options only effect Trading Equity calculations.

 

Suite Equity Allocation Distribution:

Table will show the initial equity allocation distribution can be fixed, or it can use trading equity changes made by the other systems in the suite to adjust for equity gain and drops in other systems over the testing period.

 

Equity Types:

Equity Descriptions:

Trading Equity

Amount available for trading by the current system.  

 

Trading equity is determined by the Global Setting parameter "Trading Equity Base," System Allocation Slider position, Leverage Rate, and the Draw Down Reduction control settings.  

 

For example, if Trading Equity Base is set to "Total Equity", then the value of the system’s Trading-Equity is equal to the test.totalEquity multiplied by the Leverage Rate multiplied by the system's Allocation Percentage slider.  When Draw Down Reduction controls are used the equity change causes the reduction to reduce, the value made  available will be reduced by the reduction threshold amount.

 

For order generation when a value has been entered for Order Generation Equity this number replaces the test.totalEquity amount so the trading equity is calculated from there.

 

Systems in the same suite using Trading-Equity share the gains and losses of other systems in the same Suite.

Total Equity

This equity series starts out as system.tradingEquity and is then only affected by the total profits, or losses of trades created by the system where it is being used. 

 

For order generation this is the Order Generation Equity times the allocation. Note that this equity value amount is determined after the close of the prior day.

Closed Equity

Closed equity is determined after the close of each day and only represents the value of closed trade results up to that date.

Core Equity

Core Equity is a measure of equity that includes Closed Equity plus the portion of Open Equity that would be realized if all the current positions were exited at their current protected stop price.

Size All Min Qty

Manual sizing of orders can create a unit size of at least 1-contract, or the sized entered into the size field of the Basic Money Manager, or any custom sizing method.  

 

Fixed quantity sizing is helpful when auditing a system, or a broker’s market calculations.

 


Edit Time: 9/25/2017 09:09:58 AM


Topic ID#: 304

 

 

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