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Re: Dual Momentum Algorithm - The way Zorro would have done it [Re: jmlocatelli] #469599
11/24/17 04:21
11/24/17 04:21
Joined: Sep 2017
Posts: 235
H
Hredot Offline OP
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Hredot  Offline OP
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Joined: Sep 2017
Posts: 235
Great question jmlocatelli!
As is, the code assigns an equal share of funds to each asset bought.
You have the option to use assetWeight[assetSorted[i]]/totalSlope instead of just dividing by enterNum to calculate the Lot amount.
That would assign funds to each asset bought proportional to its momentum value in comparison with other bought assets.

Last edited by Hredot; 11/24/17 04:21.
Re: Dual Momentum Algorithm - The way Zorro would have done it [Re: Hredot] #477702
07/22/19 21:23
07/22/19 21:23
Joined: Mar 2019
Posts: 131
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danatrader Offline
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danatrader  Offline
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Posts: 131
// Note: The following is optimized for 2x leveraging!
Lots=(Capital+WinTotal-LossTotal)*Leverage/(4*enterNum*price()*LotAmount);

How would you optimize it for 5 times leverage?

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