Align portfolio with old positions

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LeviF
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Align portfolio with old positions

Post by LeviF » Tue Jun 09, 2009 4:41 pm

I'm trying to match my portfolio up to my Blox theoretical portfolio. My Blox portfolio has positions on that were entered months ago. I will be entering these positions "today". I think that the best way to align everything would be to use the current percent of equity at risk for each instrument?

For example, say I intend to risk 1% per trade on new signals. But, an old trade that is profitable could have a risk to the stop of twice that. A trade in the red could have risk to the stop of half that. I think these 2x and 0.5x risk figures are what I should go off of to size my current positions, correct?

Tim Arnold
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Post by Tim Arnold » Tue Jun 09, 2009 6:44 pm

The stop price entered in the broker positions is the day of entry stop. So if your entry was at 10 and the original stop at 9, then that is what you should enter (adjusted for rolls if using futures).

The system will then adjust these stops each day, if using a trailing stop or some other daily stop adjustment.

nzbryant
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Post by nzbryant » Wed Jun 10, 2009 6:28 am

Levi

Risky doing that, as your new positions may not have the same edge as if they had been entered at the correct time/price. I would wait for new signals, personally.

If you are just concerned about sizing, then your method makes sense, else you could be risking too much. You could use your method, subject to a maximum dollar size, where the maximum dollar size is what you would have calculated had you entered at the original signal. So your positions would be equal to the theoretical original size or smaller (for safety).

LeviF
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Post by LeviF » Wed Jun 10, 2009 8:05 am

Funny, I think that it is risky not putting on old positions...

RedRock
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Post by RedRock » Wed Jun 10, 2009 12:34 pm

nzbryant wrote:Levi

Risky doing that, as your new positions may not have the same edge as if they had been entered at the correct time/price. I would wait for new signals, personally.
.
depends on whether the holding time is two weeks or two years.

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