Table of Contents

Class EquallyWeightedLongShort

Namespace
Balsam.MoneyManagement
Assembly
Balsam.Backtester.dll

A money manager that targets equal weights for long and short positions

public class EquallyWeightedLongShort : MoneyManager
Inheritance
EquallyWeightedLongShort
Inherited Members
Extension Methods

Properties

IncludeCommissions

Gets or sets whether commissions are included

public bool IncludeCommissions { get; set; }

Property Value

bool

IncludeSlippage

Gets or sets whether slippage is included

public bool IncludeSlippage { get; set; }

Property Value

bool

MaxPositionSize

Maximum position size as decimal (e.g. 5% = 0.05)

public double MaxPositionSize { get; set; }

Property Value

double

RebalanceToleranceBps

Rebalance tolerance for open positions in basis points

public double RebalanceToleranceBps { get; set; }

Property Value

double

TargetEquityExposure

The target equity exposure (1 = 100%);

public double TargetEquityExposure { get; set; }

Property Value

double

Methods

OnEntry(Trade)

Sizes trades

protected override void OnEntry(Trade trade)

Parameters

trade Trade

OnMarketOpening(ReadOnlyCollection<Trade>)

Calculates the target position sizes here for open positions net of opening/closing trades.

protected override void OnMarketOpening(ReadOnlyCollection<Trade> trades)

Parameters

trades ReadOnlyCollection<Trade>

OnTradeSubmitting(Trade)

Sets commissions and slippage depending on property settings.

protected override void OnTradeSubmitting(Trade trade)

Parameters

trade Trade