Hi there!
I'm trying to develop a daytrading system(daily bars only) that buys
on the open and sells on the close and also uses a modified variation
of Tharps ATR position sizing technique..
So far I've been unable to figure out what I need to do
in order for the backtester to update my "Capital" after a trade. As
is, each trade, as the code would indicate only, uses only the $7000.
I've spent a lot of time trying to figure out what I need to do and
have tried a lot of differnt things but can't seem to get it (not
much of a coder here). I'm guessing I need to use a loop of some
sort??? Any push in the right direction would be greatly
appreaciated.
Wade
Filter = ...
Cond1 = Open < (Ref (Close, -2) - X);
BuyStop = Open;
Buy = Cond1 AND Ref( Filter, -1) AND High > BuyStop;
BuyPrice = Max(BuyStop, Open);
SellStop = Open - (ATR (10) * 0.3);
Sell = Low < SellStop OR Close;
SellPrice = Max( SellStop, Close );
SetOption("MaxOpenPositions", 1 );
SetOption("InitialEquity", 7000 );
SetOption("AllowPositionShrinking", False );
IPS = ATR (10) * 0.3; //initial protective stop
Capital = 7000;
BuyingPower = Capital * 2;
Risk = 0.02 * Capital;
PositionSize = Min ((Risk/IPS)*BuyPrice, (BuyingPower/BuyStop)
*BuyPrice);
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