Category
Strategy Elements
Description
Dollars to allocate to this strategy
Input
Any formula specifying a dollar amount
Notes
The Allocation formula is recalculated daily and sets the value of the S.Alloc variable.
After specifying an Allocation, use S.Alloc to access its value in the Quantity (position size) formula.
S.Alloc is also used in some of the default test statistics formulas provided in the Results and Graphs scripts.
Note that Allocation has no effect on the maximum investment level allowed for a strategy. Investment level limits are specified using MaxInvested and/or MaxPositions.
See Asset Allocation and Position Sizing for additional information.
Examples
The following are some common examples of Allocation formulas:
Formula

Description

Allocation: S.Equity

Simple daily compounding of a single strategy (the default if no Allocation formula).

Allocation: S.StartEquity

Use the entire account without compounding (as if profits were withdrawn and losses replaced daily  my preferred research mode).

Allocation: Combined(S.Equity)

Simple daily compounding / rebalancing of a strategy that always uses the entire account in a multistrategy system.

Allocation: 0.25 * Combined(S.Equity)

Allocate 25% of the daily account size to a strategy and compound / rebalance to 25% each day.

Allocation: 0.25 * Combined(S.StartEquity)

Allocate 25% of the initial account size to a strategy but don't compound thereafter.

Allocation: iif(S.Number == 0, 0.25 * S.StartEquity, S.Equity)

Allocate 25% of initial account size to a strategy and then compound it independently of other strategies.

Allocation: iif(S.Number > 0 and Month <> Month[1], 0.25 * Combined(S.Equity), S.Alloc[1])

Allocate 25% of initial account size to a strategy and then compound / rebalance to 25% of account at the start of each month.

