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When setting a value like I think this will have impact on how the ratios like the Sharpe are being calculated. TIA and cheers, |
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The position size depends on whether the size function is used in self.buy() or self.sell(). For example, if you use self.buy(size=0.63), it means you are trading 0.63 times the available cash in your account. |
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Thanks, but this does not answer what is the behavior when setting |
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Setting If you want to trade with $10,000 each time, I haven't tried that (since using a percentage of the account balance for trading seems more reasonable than a fixed amount as the account balance increases). However, I guess we can use the closing price of the previous bar to calculate the number of shares that can be bought with 10,000, and then put that into self.buy(size=...). Although there may be some discrepancies, it should be close to trading with 10,000. Day 0: Cash = 10000 Day 4: self.buy() Cash = 0 StockPrice = 2 Shares = 6000 |
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Setting
cash=10000simply initializes the account with $10,000 at the start. As the account balance changes, the amount of capital/size used for each trade is controlled byself.buy(size=...).If you want to trade with $10,000 each time, I haven't tried that (since using a percentage of the account balance for trading seems more reasonable than a fixed amount as the account balance increases).
However, I guess we can use the closing price of the previous bar to calculate the number of shares that can be bought with 10,000, and then put that into self.buy(size=...). Although there may be some discrepancies, it should be close to trading with 10,000.
Day 0: Cash = 10000
Day 1: self.buy() Ca…