Ideas on tweaking margin in ports

All,

I have started some new models that use more buy/sell rules than before. What I am noticing is new for models I use, but probably pretty routine for many.

My ideal holding size is 15 stocks. Yesterday I essentially wanted to add a stock that was new to my buy rules but there were no sells that day. I had to add cash before the rebalance automatically bought the stock. Obviously, I could have done this manually and adding cash was not a problem.

But also, I could have missed that it did not buy that stock if I were not paying attention.

Today a different port with this same strategy only bought 12 stocks and did not fully invest (leaving some cash). I would have preferred to put 100% into cash.

I am not interested in any platform changes from P123. I will start playing with the margin. I am okay if the port goes above cash to buy the 16th or 17th stock that day. And obviously, I am capable of adding cash, changing the ideal number of stocks each day or doing a few things manually.

Thanks for any ideas or experience with this.

Jim

I’m not sure I understand the question, but this simulation might help you: https://www.portfolio123.com/port_summary.jsp?portid=1652284. This holds approximately 15 positions and only sells a position if a new one is bought. Each new position is bought at 6.25% of the portfolio. Check out the bottom two charts, the trading system (especially the buy and sell rules and the rebalancing tab), and the transactions.

Thank you Yuval,

I was not aware of PosCnt before your post.

Jim

If you’re interested in margin, I highly recommend a book by Ralph Vince entitled Portfolio Management Formulas.

It is thick with math but you can get through that. It really opened my eyes when I read it back in 1991.

He has written several other books since 1991. I don’t know if any of them are lighter on the math and emphasize ideas more.

[url=https://www.amazon.com/Portfolio-Management-Formulas-Mathematical-Trading/dp/0471527564/ref=sr_1_3?dchild=1&keywords=Portfolio+Management+Formulas&qid=1634751479&qsid=131-9609983-0834729&s=books&sr=1-3&sres=0471527564%2C1119817714%2C1119821320%2C0470455950%2C0471757683%2C0471043079%2C1119397413%2C1138046132%2C1501515810%2C1945051868%2CB08CGJ3YQF%2C1591846919%2C0593087054%2C1544503563%2C0979757622%2C0471547387&srpt=ABIS_BOOK]https://www.amazon.com/Portfolio-Management-Formulas-Mathematical-Trading/dp/0471527564/ref=sr_1_3?dchild=1&keywords=Portfolio+Management+Formulas&qid=1634751479&qsid=131-9609983-0834729&s=books&sr=1-3&sres=0471527564%2C1119817714%2C1119821320%2C0470455950%2C0471757683%2C0471043079%2C1119397413%2C1138046132%2C1501515810%2C1945051868%2CB08CGJ3YQF%2C1591846919%2C0593087054%2C1544503563%2C0979757622%2C0471547387&srpt=ABIS_BOOK[/url]

Chris,

Thank you. Looking at the table of contents already makes me like this book. Not just about margin, it looks like. Some good stuff that I think is important. E.g., we do not use the geometric mean enough or at least I do not use it enough to make it intuitive.

And every time we think we see a trend we should do a runs test (which is in the book).

Best,

Jim