The core idea of this strategy is to keep the investment percentage of an asset in the portfolio fixed. When the asset value rises, the investor sells some to maintain the percentage. When it falls, the investor buys more to replenish the percentage. The strategy is suitable for relatively stable assets.
The strategy first sets the investment percentage parameter percent_invested, i.e. the percentage of the asset in the portfolio. It then adjusts positions based on:
When position is 0, calculate contracts to buy based on percent_invested and initial capital.
When holding, compare invested amount percentage invested to equity percent_invested. If too low, buy more contracts. If too high, sell contracts.
Repeat step 2 to keep investment percentage fixed.
Allows long-term holding of stable assets without frequent trading.
Periodic rebalancing profits from asset fluctuations.
Investment diversification across uncorrelated assets reduces portfolio risk.
Prevents full losses by avoiding full investment before bubble bursts.
Higher loss risk for volatile assets.
Frequent trading means more fees.
Rebalancing may lag, missing best entry/exit points.
Improper percentage settings may cause overtrading.
Risks can be reduced by:
Selecting assets carefully to avoid high volatility.
Optimizing rebalancing logic to reduce trade frequency.
Setting minimum position change units to prevent overtrading.
Optimizing percentage settings to prevent overconcentration.
The strategy can be improved by:
Adding stop loss logic to cut losses at certain threshold.
Adding signal validation before rebalancing to avoid non-trend spots.
Customizing percentages, stop loss ratios per asset.
Adding parameter optimization module to find optimal parameters.
Support closing positions to reinvest in other assets for dynamic allocation.
The fixed percentage strategy provides diversification and risk control. But it has risks like lagging rebalancing and volatile asset losses. Further improvements to stop loss logic and signal validation can enhance stability.
/*backtest
start: 2022-09-21 00:00:00
end: 2022-11-22 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
// strategy("Fixed Fractioning", overlay=true, initial_capital=100000.0)
percent_invested=input(50.0,title="Percent Invested",maxval=100.0,minval=0.0)
fraction_invested=percent_invested/100
from_day=input(1,title="From Day",maxval=31,minval=1)
from_month=input(1,title="From Month",maxval=12,minval=1)
from_year=input(2017,title="From Year",maxval=2018,minval=1900)
to_day=input(1,title="To Day",maxval=31,minval=1)
to_month=input(1,title="To Month",maxval=12,minval=1)
to_year=input(2018,title="To Year",maxval=2018,minval=1900)
// === FUNCTION EXAMPLE === from: https://www.tradingview.com/script/62hUcP6O-How-To-Set-Backtest-Date-Range/
start = timestamp(from_year, from_month, from_day, 00, 00) // backtest start window
finish = timestamp(to_year, to_month, to_day, 23, 59) // backtest finish window
window() => true // create function "within window of time"
strategy.initial_capital = 50000
if strategy.position_size==0 and window()
contracts_to_buy=(fraction_invested*strategy.initial_capital)/close
strategy.entry("long",long=true,qty=contracts_to_buy,limit=close,when=contracts_to_buy>1)
invested=(strategy.position_size*close)/strategy.equity
if invested<fraction_invested and window()
contracts_to_buy=((fraction_invested-invested)*strategy.equity)/close
strategy.order("long",long=true,qty=contracts_to_buy,limit=close,when=contracts_to_buy>1)
else
if invested>fraction_invested and window()
contracts_to_sell=((invested-fraction_invested)*strategy.equity)/close
strategy.order("sell",long=false,qty=contracts_to_sell,limit=close,when=contracts_to_sell>1)