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I’ve had a question regarding the starting unit size, which appears on the Grid and Leading strategies pages…
“I see in the grid that it says that your starting unit size is 45 000. What does this mean concretely”
Can someone at C2 explain how this is calculated?
Regards
The software basically tries to determine the smallest capital amount that can be used to AutoTrade the strategy at a Scaling Percentage that does not lead to fractional units.
In the case of stock trading systems, it also evaluates whether the strategy engages in pattern day-trading, in which case the Starting Unit Size goes up to $25,000.
In the case of futures, the software evaluates estimated maximum concurrent overnight margin for simultaneously held positions. Then it also looks at largest peak-to-valley drawdown of the strategy in aggregate historically, and bases the Starting Unit Size on both numbers. It’s important to point out that both numbers (maximum margin, and maximum drawdown) are based on the historical track record, so the result is not perfect: there’s nothing stopping a strategy from trading entirely new futures contracts, or at larger quantities than in the past; or to experience a run of bad luck much worse than any it saw in the past (which is why it’s always a good idea to set “Maximum Quantity” constraints when setting up AutoTrading).
Ok thanks for that. For the record, as a developer, the systems contract sizes and trade selection is based on the system equity, not collective2’s “starting unit size”.
