Table of Contents

Class FixedFractional

Namespace
Balsam.MoneyManagement
Assembly
Balsam.Backtester.dll

A simple fixed fractional money manager than can use ATR or risk (distance to stop) to size positions.

public class FixedFractional : MoneyManager
Inheritance
FixedFractional
Inherited Members
Extension Methods

Properties

ATRScalar

Gets/sets a scalar by which to multiply ATR.

public double ATRScalar { get; set; }

Property Value

double

IncludeCommissions

Gets/sets whether to include commissions.

public bool IncludeCommissions { get; set; }

Property Value

bool

IncludeSlippage

Gets/sets whether to include slippage.

public bool IncludeSlippage { get; set; }

Property Value

bool

PercentToRisk

Gets/sets the percent of equity to risk.

public double PercentToRisk { get; set; }

Property Value

double

RiskMethodology

Gets/sets the risk measure used for position sizing.

public FixedFractional.RiskMeasure RiskMethodology { get; set; }

Property Value

FixedFractional.RiskMeasure

TargetVolatility

Gets/sets a target volatility. PercentToRisk will be calibrated to deliver the target vol.

public double TargetVolatility { get; set; }

Property Value

double

UseConstantEquity

Gets/sets whether to hold equity equal to startup cash.

public bool UseConstantEquity { get; set; }

Property Value

bool

Methods

FindRequiredRisk(double, bool, double, int)

Finds the required risk level to deliver the specified volatility.

public double FindRequiredRisk(double targetVolatility, bool autoExport = true, double tolerance = 5E-05, int maxIterations = 10)

Parameters

targetVolatility double
autoExport bool
tolerance double
maxIterations int

Returns

double

GetRisk(Trade)

Returns the risk estimate for the specified trade depending on the RiskMethodology setting.

protected virtual double GetRisk(Trade trade)

Parameters

trade Trade

Returns

double

OnEntry(Trade)

Size positions using fixed fractional.

protected override void OnEntry(Trade trade)

Parameters

trade Trade

OnStrategyStop()

Calibrates PercentToRisk to deliver target vol as necessary.

protected override void OnStrategyStop()

OnTradeSubmitting(Trade)

Apply commission and slippage settings to both entries and exits.

protected override void OnTradeSubmitting(Trade trade)

Parameters

trade Trade