I had used WLD for a while before moving to AB. From my own experience, I have not encountered anything WLD can do but AB can't, though sometimes you have to be a bit creative. The system you described can be done using AB with some complexity but is very hard or even impossible using WLD. The main problem with WLD is that you don't have direct access to the signal list. Also as you pointed out, speed and continued development are much better with AB. AB had a steeper learning curve at the beginning. Porting existing systems from WLD to AB had helped me become proficient, I would think it might also help you if you do so. I would stick to AB in the future.
----- Original Message ----- From: tomahokinjo To: [email protected] Sent: Tuesday, December 05, 2006 6:27 AM Subject: [amibroker] AmiBroker VS Wealth-Lab ? I'm a freshman on amibroker,and I used wealth-lan for some time,wld's limit on position sizing,speed,and lack of respondence of request bother me so much, I heared that script in amibroker is very fast,but I don't know how powerful the position sizing functions in amibroker is. here is a system and a position size rule named dynamic exposure,the position sizing part is difficult to code in wld,I don't know whether it's difficult in amibroker to code or not? system: bollinger break out system,look period = 30,STD=3,stop price is reversed Bollinger band(period=20,STD=2),and trading rules are: long side: 1) if close price is cross over BollingerBand(Close,20,3)'s upper band,long position is established at the close price; 2) if close price is cross under BollingBand(Close,20,2)'s Lower Band,the long position is liquidated at the close price; Short Side: 1) if close price is cross under BollingerBand(Close,20,3)'s Lower band,Short position is established at the close price; 2) if close price is cross over BollingBand(Close,20,2)'s Upper Band,the long position is liquidated at the close price; position sizing rules: 1) the initial exposure on each trade is 2% of current reduced equity,position size=2% of the current reduced equity / ABS(entry price - Trailing Stop). (the concept of reduced equity is from Mr. Van Tharp,it's total equity minus all the open profit,then plus the open profit that locked by trailing stop ) 2) when entry condition is triggerd,an initial position would be established(of course,a trailing stop is placed at the same time ),if the trailing stop is better than the entry price(for long position,it's higher than entry price,for short position,lower),a pyramiding position would be added(relevant trailing stop is placed in no time),the size of the pyramiding position is 1% of current reduced equity /ABS(entry price-trailing stop), that's,the initial exposure of the pyramiding position is 1% of the reduced equity.these two positions are separate; 3) While holding the position,the ongoing exposure of the position is 1.5 x initial exposure(so,initial position's ongoing exposure is 3%,pyramiding ongoing exposure is 1.5%),every day,the exposure of the position is calculated,and judged whether the exposure goes beyond the limit or not,if so,the position size would be reduced until the exposure is in the limit,if the exposure is small,the position size would be tried to increase until it's almost hit the limit.In this way,the whole exposure could be monitor and measure,the position size could be modified according the price fluctuation. (the technique of merging position is used in this step) 4) the whole exposure of the account limit is 10% of the equity,if the whole exposure goes beyond the limit,no position would be added or increase. 5) the initial exposure or ongoing exposure of each position should be stored in a file or in an relevant indicator that could be plotted on the chart. If amibroker could do what wld can't,maybe it's time for me to consider selecting amibroker instead of wld. regards.
