hi graham, can u please exlpain something regarding backtesting with position sizing. I start with $100000 as initial equity. also i have trailing S/l and max 10 open positions. when i backtest this is what happens a) at first buy signal the whole equity is commited b) only after it sells the whole position again does AMI enters new position and again with full equity available(depending upon previous trade) c) how do i setup AMI so that it will uy only limited amt(2%) and then have max 10 open positions. pl help
--- In [email protected], Graham <[EMAIL PROTECTED]> wrote: > > Remember that this is calculated on the backtest open equity so you need to > check the equity curve from the backtest chart. > > if current equity is $25,000 > Equity risk is 2% ($500) > Buyprice is $10 > Trade risk $0.50 > > Trade size becomes 2*10/0.5 = 40% of equity, ie 1000 shares > Working out as num shares > Risk = 25000*0.02 = 500 > num shares = 500 / 0.50 = 1000 shares > . > > > -- > Cheers > Graham > AB-Write >< Professional AFL Writing Service > Yes, I write AFL code to your requirements > http://www.aflwriting.com > > On 03/11/06, wadebullock <[EMAIL PROTECTED]> wrote: > > > > Hi Graham, > > > > Thanks for the reply. I'm trying to positionsize based on current > > backtest equity. Prior to starting this thread, I had tried the > > formula you sent, positionsize = -2 * buyprice/IPS;. > > > > Starting with the first symbol of a portfolio backtest, this seemed > > to do the job. But found that for some reason the number of shares > > were always more than what they should be, if compared to my hand > > calculation. > > > > Since your reply, that formula still gives me more shares than what I > > expect, however, if I backtest just the one symbol (the first of the > > portfolio backtest) the number of shares are correct! Not sure what > > to make of it or how to fix it. > > > > I hope all of that makes sense. Any suggestions? > > > > Thanks! > > > > Wade > > > > --- In [email protected], Graham <kavemanperth@> wrote: > > > > > > Are you trying to size the trades based on current backtest Equity, > > instead > > > of starting equity, with 2% risk and the stoploss? > > > > > > positionsize = -2 * buyprice/IPS; > > > > > > or if based on 7000 starting capital only > > > > > > positionsize = 0.02 * Capital * buyprice/IPS; > > > > > > -- > > > Cheers > > > Graham > > > AB-Write >< Professional AFL Writing Service > > > Yes, I write AFL code to your requirements > > > http://www.aflwriting.com > > > > > > > > > On 02/11/06, wadebullock <wadebullock@> wrote: > > > > > > > > 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); > > > > > > > > > > > > > > > > > > > > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > > > > http://www.amibroker.com/devlog/ > > > > > > > > For other support material please check also: > > > > http://www.amibroker.com/support.html > > > > > > > > Yahoo! Groups Links > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > > http://www.amibroker.com/devlog/ > > > > For other support material please check also: > > http://www.amibroker.com/support.html > > > > Yahoo! Groups Links > > > > > > > > > > > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: http://www.amibroker.com/devlog/ For other support material please check also: http://www.amibroker.com/support.html Yahoo! 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