Yes you are right. As to improving the code - the biggest time
consuming parts is calling many times Foreign() inside loops
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
*From:* Trinolix Derry <[EMAIL PROTECTED]>
*To:* [email protected]
*Sent:* Thursday, July 12, 2007 1:39 PM
*Subject:* Re: [amibroker] Re: How to implement a simple risk management ?
Tomasz please read it
Hello Tomasz,
thanks for your help !
I think i understand it now. I thought that i don't need it because
RiskPerContract includes my RiskAtClose which includes the foreign function
and is symbol based. But now i understand that RiskPerContract will be
overwritten at every bar with the value from the last symbol in the open
trades list. Am i right ?
Another question: I have seen already that the backtest speed increases
significantly when i use the Risk Management.
Do you maybe see clear ways to improve the code, maybe through
FindOpenPos() or is it simply normally because AmiBroker must look at every
bar for open trades and calculate the risk at every bar on those trades,
etc.. ?
Regards
2007/7/12, Tomasz Janeczko <[EMAIL PROTECTED]>:
>
> 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
>
>
--
Regards
