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I have not tried dynamic optimization with that small of an account, but that is more or less what I would expect. The point of DO is to allow small accounts to consider a large number of possible instruments in which to take a position, but it's not magic. The "optimal" number of positions at any given time will still be limited by small account size. |
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I've been running a paper trading account for several months now with IB. They give you $1 million to play with and the system generally had 20+ positions.
I've been running backtests for far humbler account sizes of 50-100k USD using dynamic optimization and parameters similar to what Rob has in the repository and looking through the optimized_positions DF and noticed that for the past 1-2 years the smaller system often only has 1-4 positions. For 50k nominal trading capital 1-2 positions is very common. Most of the posters here seem to have larger account sizes, but are there any others that have run a dynamic system with 50-100k USD and have seen the same? I'm just trying to make sure that this isn't something wrong with my config. I wouldn't think it likely since I've tried changing parameters around quite a bit and behavior is the same; # of optimized positions scales with capital. Thanks!
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