Jim Dean Sage   Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA  User Profile | Re Smart Sizing ... the simple version is just an OScript formula ... I sent it to Ed several years ago, when he said N was definitely going to do something to OT and OV to make it useable (either hardcoded, or an OScript input field for postion sizing). Obviously, that never happened I conducted a Sat afternoon seminar on that at a Bash in 2013-14, and gave out the OScript formulae to attendees. It's currently usable in a focus list so for manual HRE trading, it works fine. But since it's not possible (yet) to do it mechanically, there's not much point in re-discussing it. I'm pretty sure that sometime in the past, somewhere on the N forums in my ~10,000 posts, I wrote it up. The "robust" version's enhancements of Hedging and Diversification, interestingly enough, is "sorta" do-able in the ATM engine. But the core position sizing thing, calculating shares for each trade based on the symbol's price and its volatility, is just not yet do-able. Otoh ... I'm still working on a huge project that dramatically enhances mechanical Trade Plan capabilities (true dynamic scaling in and out) ... and one of the benefits to that (a fairly simple aspect of it, in fact), is support for Smart Sizing. So ... there is hope for the future. | |
