Recomendations -dynamic weighting?

I want to try different kinds of dynamic weighting.

How many of you use dynamic weighting instead of static, and would anyone share what they’re using?

I’ve been asking for this for years…

From 2015 -

I took each of my nodes that has something to do with company size, liquidity, or volume and I tried each of them as the dynamic weight, often time altering them in some way such as using its inverse. Then I started pairing them together in various ways. I found several that improved my returns. This was a somewhat randomized process. I currently use a liquidity formula multiplied by ((1/RankPos)). Not sure if that’s a the best approach, or even a good one, but it improves my returns.


Are you willing to share any of them that worked?

What do you mean by dynamic weighting? I use formula weight rebalancing in simulations and live strategies–is that what you mean? Or do you mean adjusting weights within ranking systems depending on what’s going on in the market? If the latter, I tried that, to absolutely disastrous effect, and would not recommend it at all.

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I meant this…

Factor timing attracts many people but that’s an easy way to the death of your portfolio.

These are the settings I use:

The formula I use ($amt2buy) is basically R * (X - T) / X where R is a rankpos-based formula such that higher-ranked stocks get higher numbers, X is my expected return on an average stock, and T is a formula that gives my round-trip transaction cost of the particular stock.

There are lots of possibilities for R. Rank, or Rank - n where n is less than 95, or 1/RankPos, or 1/(RankPos+N), or y^(n*RankPos) where y is a number greater than 1 and n is between -1 and 0, or n - RankPos where n is somewhere between 20 and 100 . . . Any of those should work fine.

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One major issue for me with dynamic weight position sizing is that the portfolio123 trading system optimizer still does not support strategies using this feature:

Trading system studies not currently supported for the Dynamic Weight position sizing method

p123 team: What are the technical obstacles to making the optimizer support these strategies? I’m not even trying to optimize position sizing parameters, even buy/sell rule parameter optimization is not supported, etc.


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