InitialRiskWithVolumePositionSizer

class qf_lib.backtesting.position_sizer.initial_risk_with_volume_position_sizer.InitialRiskWithVolumePositionSizer(broker: qf_lib.backtesting.broker.broker.Broker, data_provider: qf_lib.data_providers.data_provider.DataProvider, order_factory: qf_lib.backtesting.order.order_factory.OrderFactory, signals_register: qf_lib.backtesting.signals.signals_register.SignalsRegister, initial_risk: float, max_target_percentage: float = None, tolerance_percentage: float = 0.0, max_volume_percentage: float = 1.0)[source]

Bases: qf_lib.backtesting.position_sizer.initial_risk_position_sizer.InitialRiskPositionSizer

Variant of initial risk position sizer, which additionally controls the target size based on the mean daily volume.

Parameters

  • broker (Broker) –

  • data_provider (DataProvider) –

  • order_factory (OrderFactory) –

  • initial_risk (float) – should be set once for all signals. It corresponds to the value that we are willing to lose on single trade. For example: initial_risk = 0.02, means that we are willing to lose 2% of portfolio value in single trade

  • max_target_percentage (float) – max leverage that is accepted by the position sizer. if None, no max_target_percentage is used.

  • tolerance_percentage (float) – percentage used by OrdersFactory target_percent_orders function; it defines tolerance to the target percentages

  • max_volume_percentage (float) – percentage used to cap the target value, so that according to historical volume data, the position will not exceed max_volume_percentage * mean volume within last 100 days