I was hoping you could help me with a position sizing question. I am back-testing a strategy and want to use a trade size that is a percent of the strategy portfolio value at the time of trade (Capital + cumulative PnL). I am running the strategy over multiple instruments.
It is my understanding that running a strategy on an instrument list results in the instrument being simulated sequentially and not in parallel, meaning first Initialize and all OnBarUpdate calls are made for one instrument, before moving on and starting the next instrument with Initialize.
This means I cannot get a daily strategy portfolio size across all the instruments to work out the trade sizing for the next trade.
Is my thinking correct or has this been implemented in NT8 (some older posts indicated this was on the development list)? If it has not been developed is there possibly a work around someone has implemented?
Thank you
Robbo
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