Hi again, Does anyone know how it's done then ??
Is there any documentation anywhere ?? Thanks, Geoff --- In [email protected], "Paul Ho" <[EMAIL PROTECTED]> wrote: > > the example was to illustrate how expectancy is to be calculated when risk > is set to 0.01 of equity. it doesnt say how 0.01 is to be achieved, whether > it is via position sizing or stoploss or both. > > > _____ > > From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf > Of Geoff Mulhall > Sent: Monday, 13 March 2006 3:34 PM > To: [email protected] > Subject: [amibroker] Calculating Position Size Based on a % of Current > Equity > > > Hi, > > In the example provided by Tomasz below I do't see how the risk > relates to the position size. > > When I enter a trade my position size in number of shares is > calculated as $ to Risk /(entry price - stop price) > and I want my $ to risk on the trade to be a % of my currect equity. > > I was expecting to see the SetPositionSize used in the example below > but it does not appear - so I'm wondering how the Risk value in the > example below is used to set the position size in the trade. > > Any help appreciated. > > Geoff > > Example follows -> > > SetCustomBacktestProc(""); > MaxLossPointStop = 2*ATR(10); // dynamic volatility stoploss, 1st > modification > > function FindEquityAtDateTime( eq, dt, Value ) > { > found = -1; > for( i = 0; i < BarCount AND found == -1; i++ ) > { > if( dt[ i ] == Value ) found = i; > } > return IIf( found != -1, eq[ found - 1 ], Null ); > } > if( Status("action") == actionPortfolio ) > { > bo = GetBacktesterObject(); > bo.Backtest(1); // run default backtest procedure > SumProfitPerRisk = 0; > NumTrades = 0; > dt = DateTime(); > eq = Foreign("~~~EQUITY", "C" ); > > for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade > () ) > { > EquityAtEntry = FindEquityAtDateTime( eq, dt, > trade.EntryDateTime ); > > Risk = 0.01 * EquityAtEntry ; //risk is defined as a constant > 1% of current equity. > > RiskAsPecentOfCurrentEquity = 100 * Risk / EquityAtEntry; > RMultiple = trade.GetProfit()/Risk; > trade.AddCustomMetric("Initial risk $", Risk ); > trade.AddCustomMetric("Equity at entry", EquityAtEntry ); > trade.AddCustomMetric("Risk as % of Eq.", > RiskAsPecentOfCurrentEquity ); > > trade.AddCustomMetric("R-Multiple", RMultiple ); > SumProfitPerRisk = SumProfitPerRisk + RMultiple; > NumTrades++; > } > Expectancy3 = SumProfitPerRisk / NumTrades; > bo.AddCustomMetric( "Expectancy (per risk)", Expectancy3 ); > bo.ListTrades(); > } > // your trading system here > > ApplyStop( stopTypeLoss, stopModePoint, MaxLossPointStop ); > > > > > > > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For other support material please check also: > http://www.amibroker.com/support.html > > > > > > > SPONSORED LINKS > Investment > <http://groups.yahoo.com/gads? t=ms&k=Investment+management+software&w1=Inves > tment+management+software&w2=Real+estate+investment+software&w3=Invest ment+p > roperty+software&w4=Software+support&w5=Real+estate+investment+analysi s+soft > ware&w6=Investment+software&c=6&s=200&.sig=_XXUzbE9l5lGlZNcMu4KNQ> > management software Real > <http://groups.yahoo.com/gads? t=ms&k=Real+estate+investment+software&w1=Inve > stment+management+software&w2=Real+estate+investment+software&w3=Inves tment+ > property+software&w4=Software+support&w5=Real+estate+investment+analys is+sof > tware&w6=Investment+software&c=6&s=200&.sig=5_sgDczz3ArKGMtJ9tFSJA> estate > investment software Investment > <http://groups.yahoo.com/gads? t=ms&k=Investment+property+software&w1=Investm > ent+management+software&w2=Real+estate+investment+software&w3=Investme nt+pro > perty+software&w4=Software+support&w5=Real+estate+investment+analysis+ softwa > re&w6=Investment+software&c=6&s=200&.sig=_N6zcwefgp4eg5n6oX5WZw> property > software > Software > <http://groups.yahoo.com/gads? t=ms&k=Software+support&w1=Investment+manageme > nt+software&w2=Real+estate+investment+software&w3=Investment+property+ softwa > re&w4=Software+support&w5=Real+estate+investment+analysis+software&w6= Invest > ment+software&c=6&s=200&.sig=MJ2jP31F3n64RDZkDadU8w> support Real > <http://groups.yahoo.com/gads? t=ms&k=Real+estate+investment+analysis+softwar > e&w1=Investment+management+software&w2=Real+estate+investment+software &w3=In > vestment+property+software&w4=Software+support&w5=Real+estate+investme nt+ana > lysis+software&w6=Investment+software&c=6&s=200&.sig=GmF8PlAJASx0wrSaX 5-Zlw> > estate investment analysis software Investment > <http://groups.yahoo.com/gads? t=ms&k=Investment+software&w1=Investment+manag > ement+software&w2=Real+estate+investment+software&w3=Investment+proper ty+sof > tware&w4=Software+support&w5=Real+estate+investment+analysis+software& w6=Inv > estment+software&c=6&s=200&.sig=aMgGsKT4w29dMAYUzQUKzg> software > > _____ > > YAHOO! 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