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Strategy Elements


Dollars to allocate to this strategy


Any formula specifying a dollar amount


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.


The following are some common examples of Allocation formulas:



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Use the entire account without compounding (as if profits were withdrawn and losses replaced daily -- my preferred research mode).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 / re-balancing of a strategy that always uses the entire account in a multi-strategy system.

Allocation: 0.25 * Combined(S.Equity)

Allocate 25% of the daily account size to a strategy and compound / re-balance 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  / re-balance to 25% of account at the start of each month.





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