Hello,
There were examples posted in the past. You don't need custom backtester
to do for example
VanTharp-style risk management (placing stops at multiple of ATR() and
allocating certain percentage of equity in given trade at the time of the
entry).
For more complex schemes like scaling out position if risk increases
during the trade and scaling in positions when risk
decreases during the trade you indeed need custom backtester.
As to the code that you have used, it is easy to modify it to work with
multiple symbols.
You need to use dynamic variable names for everything. You were going good
path but you need to use dynamic variables
for remaining variables such as RiskPerContract, DiffToMaxRisk
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
*From:* Trinolix Derry <[EMAIL PROTECTED]>
*To:* [email protected]
*Sent:* Thursday, July 12, 2007 10:14 AM
*Subject:* Re: [amibroker] Re: How to implement a simple risk management ?
Tomasz please read it
Hello Graham,
yes i know and i have printed out and read everything that you mentioned
already multiple times.
Unfortunately none of the examples are similar to a risk management. The
only example which could be useful to implement a risk management was the
rebalance example which i used as my template.
I assume the main difference to my code is that the rebalance example
doesn't need information from previous bar open trades. I don't know why,
but it seems that the PositionValue that he uses already returns previous
bar position value, so he doesn't need to retrieve information from open
trades at previous bar.
If you take a look at my previous post, about 1-2 days ago i have already
implemented everything and through Trace View i can see the correct risk at
every bar at every open trade and when the risk is to high it scales out at
the next bar. Works fine so far at a single symbol, but now the key problem
seems to be anywhere to retrieve the correct values from previous bar open
trades. I have used dynamic variables with the symbol name. Maybe you can
take a look at my code, i can't figure out the reason myself.
Anyway i am still surprised that no one else seems to have such a simple
risk management already implemented.
Without it the trade risk could rise and rise, also with a trailing stop
and before you realize it you could already risk much more % of equity in
real life than you have expected in the backtest, because without custom
coding (Trace view) the backtester doesn't show the current open risk. It
also doesn't show the portfolio risk.
So a nice backtest could end with a system that can't be traded in real
life, because no one feels comfortable if the open risk is to high and even
higher than expected in the backtest.
Another example would be that the equity drops down, so the risk increases
also and we should scale out contracts. Without any risk management we can't
see such situations in the backtester. So our current risk could maybe
already be 90% of equity and we can't realize it in the backtest. Most
probably this is the time when people are saying that backtests are useless,
but this shouldn't be our goal. So i appreciate every help !
Regards
*
function
*FindValueAtDateTime( input, dt, Value )
{
found = -
1;
*for*( i = 0; i < *BarCount* *AND* found == - 1; i++ )
{
*if*( dt[ i ] == Value ) found = i;
}
*return* IIf( found != -1, input[ found ], *Null* );
}
*
if
*( Status("action") == *actionPortfolio* )
{
AddRMultipleColumn =
StaticVarGet("AddRMultipleColumn");
bo =
GetBacktesterObject();
bo.PreProcess();
dt =
DateTime();
MaxTradeRisk =
StaticVarGet("MaxRiskPerTrade");
MaxTradeRiskPercent = MaxTradeRisk *
0.01;
Slippage =
StaticVarGet("Slippage");
UseTraceView =
StaticVarGet("UseTraceView");
UseRiskManagement =
StaticVarGet("UseRiskManagement");
EquityArray =
0;
CurrentContracts =
0;
EquityAtEntry =
0;
CurEquity =
0;
RiskAtCloseCash =
0;
RiskAtClosePercent =
0;
DiffToMaxRisk =
0;
RiskPerContract =
0;
ScaleAmountInContracts =
0;
ScaleAmountCashWithMargin =
0;
*for*(bar = 0; bar < *BarCount*; bar++)
{
bo.ProcessTradeSignals( bar );
CurEquity[bar] = bo.Equity;
*if*(UseRiskManagement)
{
// iterate through open trades
*for*( trade = bo.GetFirstopenPos(); trade; trade = bo.GetNextopenPos() )
{
// Store entry values in dynamic variables
*if*(trade.BarsInTrade == 1)
{
VarSet("ContractsAtEntry" + trade.Symbol, trade.Shares);
VarSet("FxRateAtEntry" + trade.Symbol, trade.EntryFxRate);
}
// Get values from entry bar
EquityAtEntry = FindValueAtDateTime( EquityArray , dt, trade.EntryDateTime);
ContractsAtEntry =
VarGet("ContractsAtEntry" + trade.Symbol);
FxRateAtEntry =
VarGet("FxRateAtEntry" + trade.Symbol);
// Store current values in dynamic variables
VarSet("CurrentContracts" + trade.Symbol, trade.Shares);
// Get current values from dynamic variables
CurrentContracts =
VarGet("CurrentContracts" + trade.Symbol);
*if*(bar > 0)
{
*if*( DiffToMaxRisk[bar-1] > 0 )
CurrentContracts = CurrentContracts - ScaleAmountInContracts[bar-
1];
*else*
CurrentContracts = CurrentContracts[bar-
1];
}
*if*(trade.IsLong)
{
// Get values from phase 1 -> composite indicators
RiskAtClose =
Foreign("~AddValues_2" + trade.Symbol, "Open");
ScalePrice = trade.GetPrice( bar,
"O" ) - Slippage ;
}
*else*
{
RiskAtClose =
Foreign("~AddValues_2" + trade.Symbol, "High");
ScalePrice = trade.GetPrice( bar,
"O" ) + Slippage ;
}
// Calculate current trade risk
RiskAtCloseCash[bar] = RiskAtClose[bar] * CurrentContracts[bar] *
trade.PointValue * FxRateAtEntry;
RiskAtClosePercent[bar] = RiskAtCloseCash[bar] / (
0.01 * CurEquity[bar]);
DiffToMaxRisk[bar] = RiskAtCloseCash[bar] - MaxTradeRiskPercent *
CurEquity[bar];
RiskPerContract[bar] = RiskAtClose[bar] * trade.PointValue *
FxRateAtEntry;
ScaleAmountInContracts[bar] = DiffToMaxRisk[bar] / RiskPerContract[bar];
RoundValue =
1 / trade.RoundLotSize;
ScaleAmountInContracts[bar] =
round(ScaleAmountInContracts[bar] * RoundValue) / RoundValue;
ScaleAmountCashWithMargin[bar] = ScaleAmountInContracts[bar] *
trade.MarginDeposit * FxRateAtEntry +
0.01;//0.01 necessary (rounding)
*if*(UseTraceView)
{
_TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ", Bars In Trade = "+
trade.BarsInTrade + ", Symbol " + trade.Symbol );
_TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ", Contracts @ Entry
= " + ContractsAtEntry + ", Current " + CurrentContracts[bar] );
// _TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ", EquityAtEntry
= " + EquityAtEntry + ", Current Equity = " + bo.Equity);
_TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ", MaxTradeRisk = "+
MaxTradeRiskPercent *
bo.Equity + "€"+ ", " + MaxTradeRisk[bar] + "%" + ", DiffToMaxRisk = " +
DiffToMaxRisk[bar] + " € " );
// _TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ",
trade.GetEntryValue() = " + trade.GetEntryValue() +" € ");
// _TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ",
trade.GetPositionValue() = " + trade.GetPositionValue() +" € \n\n");
// _TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ", Risk = " +
RiskAtClose[bar] +" Ticks, " + RiskAtCloseCash[bar] +" €, " +
RiskAtClosePercent[bar] +" % ");
_TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ", Current Risk = "+
RiskAtCloseCash[bar] +" €, "+ RiskAtClosePercent[bar] +"
% ");
// _TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ", FxRate @ Entry
= " + FxRateAtEntry );
}
*if*(bar >= 0 *AND* DiffToMaxRisk[bar] > 0 *AND* UseTraceView)
_TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ", Scale Out, Amount
= " + DiffToMaxRisk[bar] + " €, Contracts = " +
ScaleAmountInContracts[bar] );
*if*(bar > 0 *AND* DiffToMaxRisk[bar-1 ] > 0 )
{
bo.ScaleTrade( bar, trade.Symbol, *False*, ScalePrice,
ScaleAmountCashWithMargin[bar-
1], trade.MarginDeposit );
*if*(UseTraceView)
_TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ", " +
ScaleAmountInContracts[bar- 1] + " Contracts scaled out ");
}
*if*(UseTraceView)
_TRACE("\n");
}
}
}
2007/7/12, Graham <[EMAIL PROTECTED]>:
>
> You would need to do the risk management within the custom backtest
> coding. There is no other way to base values on portfolio equity
> There are examples available (see Ab knowledge base etc) in this and a
> guide written by a member of this group for advanced backtest code
> available I think in the files section of yahoo group?
>
> --
> Cheers
> Graham
> AB-Write >< Professional AFL Writing Service
> Yes, I write AFL code to your requirements
> http://www.aflwriting.com
>
> On 12/07/07, Trinolix Derry <[EMAIL PROTECTED] <trinolix%40gmail.com>>
> wrote:
> > Hello,
> >
> > i have got no reply so i am wondering how you manage the trade risk ?
> >
> > The real risk always depends on current contracts, current equity and
> > stop distance, therefore there is no easy way just as placing any
> > trailing stop.
> >
> > Can't anyone help ?
> >
> >
> >
> > 2007/7/11, Trinolix Derry < [EMAIL PROTECTED] <trinolix%40gmail.com>
> >:
> > > Hello,
> > >
> > > Can someone please tell me how to implement a simple risk management
> > > for futures ?
> > >
> > > Compared to the AmiBroker Rebalance example which is position size
> > > based, i want to use the risk amount to make rebalancing or simple
> > > scale out's.
> > > Basically whenever current trade risk is > 4% of current equity it
> > > should scale out to get the risk below 4%.
> > >
> > > I wasn't able to write the code successfully, see one of my previous
> posts.
> > > However a risk management is so important and really everyone who
> > > want's to develope a serious trading system need it. So i assume
> that
> > > anyone found the solution.
> > > Otherwise Tomasz: Can you please provide a example to the KB site ?
> > >
> > >
> > > Risk management is one of the keys to success.
> > > I really appreciate every help !
> > >
> > > --
> > > Regards
> > >
> >
> >
>
>
--
Regards
