Category

Strategy Elements

Description

Specifies whether to allow pyramiding in a strategy

Choices

False - don't allow pyramiding (default)

True - allow pyramiding

Notes

By default, a strategy is not allowed to enter a position in a stock if it already has an open position in that stock. If you want a strategy to be allowed to take multiple positions in the same stock, add Pyramid: True to its definition.

When pyramiding is used, multiple positions in the same stock are treated as separate positions (as opposed to "adding to a position"). The exit-related formulas are applied to each sub-position separately.

To model a system that scales in and/or out of positions, an alternative method is to use a separate strategy for each portion. See Scaling In or Out of Positions for details about that approach.

The sample script martingale.rts shows an interesting example of pyramiding.

 

 

 

Copyright © 2020-2021 Systematic Solutions, LLC