Dynamic Position Sizing for a Turtle CTA Strategy

Summary

The thread discusses changing a Turtle-style CTA backtest from a fixed number of contracts per trade to dynamically sized positions. A user reports editing a strategy variable intended to replace the fixed unit, but the refreshed backtest still uses the quantity entered in the platform’s settings. This points to a practical distinction between strategy code and the backtesting interface’s configured position size: changing one may not override the other.

A respondent recommends using a risk-level method to control trade quantities and points to a lesson in an advanced CTA course. The thread does not explain the calculation, show code, or confirm how to configure the platform so the strategy’s sizing logic takes effect. It therefore offers a direction for further investigation rather than a complete implementation. Traders adapting the approach would still need to check how their platform prioritizes strategy parameters and backtest inputs, and validate any risk-based sizing logic against their own instrument and risk limits.

Key ideas

• The discussion concerns replacing fixed trade quantities with dynamic sizing in a Turtle-style CTA backtest.
• Editing a strategy variable may not change the quantity configured in the backtesting interface.
• A respondent suggests controlling trade size through a risk-level method.
• The thread does not provide implementation details or verify a working solution.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.