Portfolio Level Scale-In Strategy

I've successfully coded a Trading System with the following attributes.

  • Portfolio of 4 Stocks.
  • Different Position Size for the 4 Stocks.
  • Long and Short Trades on EMA Crossover.

But, I'm unable to code the following Scale In Strategy. Add 50% of the specific Stock Position Size after a trade, whether Long or Short, has run for 10 bars and is in profit at the close of 10th bar.

There is generally a situation where two Stocks are Long and two Stocks are Short and all the four trades were initiated at different times. And then using different Position Sizes adds to the complexity.

Such thing can be implemented using Custom Backtester.

Many examples:

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