Position limits

Position limits are also quite straightforward and intuitive to understand. It is simply the maximum position, long or short, that the strategy should have at any point in its trading lifetime. It is possible to have two different position limits, one for the maximum long position and another for the maximum short position, which can be useful, for instance, where shorting stocks have different rules/risks associated with them than being long on stocks does. Every unit of open position has a risk associated with it. Generally, the larger the position a strategy puts on, the larger the risk associated with it. So, the best strategies are the ones that can make money while getting into as small a position as possible. In either ...

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