Doubling previous quantity on tick data

[mtomic-quant]

Hi,

I am trying to test a simple short-only martingale strategy where the quantity shorted is double the current position size when a short signal occurs. At exit the whole position should exit.

I created the signals on tick data and have specified my portfolio as follows:

pf = vbt.Portfolio.from_signals(
    df.price.values,
    short_entries=df.short_signal.values,
    short_exits=df.exit_signal.values,
    accumulate="Both",
    size=2,
    size_type="percent",
    init_cash=20000,
)

although I can't figure out if size_type 'percent' makes sense for my case and if size=2 means 200%, i.e. buy twice the current active quantity at every short signal.

Also, as I have tick data I cannot calculate sharpe ratio and some other metrics as I need to specify frequency. What is the usual approach to handle this? Do I need to bin my data to regular intervals?

[polakowo]

If I understand you correctly, you want to double the short position size with each new short signal and then reset once an exit signal occurs? If so, you should set a specific absolute quantity, such as 1 share (with size_type="amount"), and then use accumulate=True ("both" will remove from the position 1 share, not close out the entire position). Since you don't know the required capital in advance, you can use init_cash="auto" for unlimited cash, which will be automatically replaced by a limited one after the simulation based on the difference between cash inflows and outflows (there was an issue with unlimited cash when shorting, it was fixed in pro but I don't remember if it was fixed here as well...)

Sharpe is tricky to compute on tick data, I recommend resampling to the next-highest frequency prior to simulation.

[mtomic-quant]

Thanks for the info. Yes you understood that correctly, however I can't see how to double the short position with each new short signal? If I set size_type="amount", what should the size be?