Portfolio level position sizing backtest with Max. Open Positions = 4

If I have an initial equity of $10,000, and I set my Max. Open Position = 4, then I run the "Portfolio Backtest" option (not the "Individual Backtest" option). My question is, will each "open position" initially be using a position size of $10,000 / 4, or $2,500 per open position each ? And if there is profit, say after a few trades, I made a total of $500, then after that, each open position will be $3,000/4 = $2,625 each ? Am I correct ? Is this how Amibroker is working behind the scenes with respect to Portfolio backtesting? Thanks.

It is little bit different. Size of the position is defined by SetPositionSize function.
https://www.amibroker.com/guide/afl/setpositionsize.html

But for sure Amibroker will not open more than 4 positions in your case.

1 Like

Yes, Amibroker backtest will compound your returns. Each position will be 10,500 / 4 positions.

1 Like

Since topic started doesn't specify what position size approach is used, this can be incorrect. This statement is correct only if position size proportional to the current equity. In case of the constant position size or other fancy position sizing approaches, it can be incorrect.

1 Like

This topic was automatically closed 100 days after the last reply. New replies are no longer allowed.