I've been looking at various accumulation algos and it appears that the greater majority are predicated on building a position largely relative to a time component or market volume for obvious reasons.

Are there also any well known methods for pacing the accumulation of a position relative to price? Like in the event that you have a desired position size you would like to build relative to the price movement from one point to another?

This somewhat falls under the general concept of pyramiding which is a fairly abstract term that can broadly cover many variations. I find that most concepts aren't necessarily novel ...it's more a matter of knowing the correct search term. Any recommendations would be much appreciated.

  • $\begingroup$ I guess you are trying to adjust/optimize your leveraged position size with respect to risk/return. Or am I totally off? Looking at the volatility in the instrument you are trading would be a start. $\endgroup$ – chjortlund Dec 2 '14 at 18:32
  • $\begingroup$ That is roughly the general concept. The logic is based on the fundamental premise of pyramiding in that unless price moves in the desired direction you didn't want to build a position, which inherently controls your risk profile to an extent. The basic parameters are simple enough, but I would like to find a means of interfacing with an accumulation/distribution algorithm that could assist in adjusting to actual trade execution realities. Most (like IB Accumulations/Distribution algo) don't seem to have the option for a custom parameter. $\endgroup$ – user3033725 Dec 2 '14 at 18:51

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