|/*EXAMPLE
---------------------------*/
// set your stop in points
stop = 1.5;
// calculate stop distance relative to entry level in %
chg = IIf(*Buy*,100* stop/*BuyPrice*,
IIf(*Short*,100* stop/*ShortPrice*,*Null*));
// Set your risk parameter as % of Equity /trade
risk = 1;
/* Simple Equation Follows:
PositionSize * chg = equty * riks
OR
PositionSize = equity * (risk/chg)
----------------------------------------*/
ApplyStop(*stopTypeLoss*, *stopModePoint*,stop);
SetPositionSize(Nz(risk/chg)*100, *spsPercentOfEquity*);|
As far as concerns the "dynamic" leverage, the backtester will check if
you have sufficient funds to enter the trade according to the margin
parameter that you set yourself.
:-)
reminds me of a Master card commercial that sounds more or less like this:
/"Opening an account with a broker - Master Card: $200;
Buying the best analytical software - Master Card: $300;
Not knowing how to calculate your stop: PRICELESS !!!"/
droskill wrote:
Say I want to do position sizing based on the distance to a stop. For
example, say I want to size based on overall portfolio risk. I've
tried the following code:
PositionSize = -5*Buyprice/(Buyprice*0.12);
But that doesn't generate any trades. So, I'm guessing the code is
way, way wrong - can anyone help me out here?
Second related question: let's say position sizing using this method
results in the use of leverage. How can I make the leverage dynamic
so that the system automatically scales to the required leverage for
the system?
Thanks,
Damian
