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Variable Position Sizing
Tony Morland
posted

Hi dear friends at Q,

I have been away from Quantopian since May this year and just getting back to Q again now. My existing algos are ticking along OK, but i want to improve them by introducing variable position sizing. Currently i am selecting stocks using a formula with zScores but, for those stocks that are selected, all the positions are equally sized.

Rather than keeping position size equal for all stocks, I would like to be able to vary the position sizes based on some other formula or variable(s), e.g. Market Cap, just as an initial simple example. Has anyone had any experience with doing something like this, and if so, could you be so kind as to share some python code for how to do it. There were a few posts that started out along these lines back in 2017 but didn't lead anywhere. (No, i don't need your secret stock selection part, but just something simple that will allow variable position sizing).

Cheers, best regards, Tony :-)

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