Hi,
If I understand your scenario correctly. You don't have to worry
about it, because AmiBroker will not allow you to place an order for
a value greater than you actually have available in your account.
Just select the "Allow position size shrinking" checkbox from the AA
settings window, then set your position size based on your volume
calculations. AmiBroker will scale down as necessary when your
calculations exceed your equity.
Otherwise, as explained by Graham, if you are backtesting over more
than a single symbol, then you can access the equity from within
custom backtester code.
e.g.
SetBacktestMode(backtestRegularRaw);
SetCustomBacktestProc("");
if (Status("action") == actionPortfolio) {
bo = GetBacktesterObject();
bo.PreProcess();
for (bar = 0; bar < BarCount; bar++) {
for (sig = bo.GetFirstSignal(bar); sig; sig = bo.GetNextSignal
(bar)) {
... // Make any adjustment to sig.PosSize that you want using
bo.Equity in your calculations.
... // If you need access to the symbol for Volume, etc. use
Foreign(sig.Symbol, "V").
}
bo.ProcessTradeSignals(bar);
}
bo.PostProcess();
}
Mike
--- In [email protected], "zozuzoza" <[EMAIL PROTECTED]> wrote:
>
> I tried this but doesn't work.
> PositionSize = Min(Foreign("~~~EQUITY", "C"),MA(C,5)*MA(V,5)/50);
> It is a portfolio backtest.
> The question remains. How is it possible for the positionsize to
> follow the equity AND also limit the positionsize by the volume?
>
> --- In [email protected], Graham <kavemanperth@> wrote:
> >
> > For a portfolio backtest the only place is in the positionsizing
as
> > that is only used during the portfolio backtest pass
> > If it is a single symbol backtest then you can use Equity().
> > If you need to determine trade entries or exits based on portfolio
> > equity value then you need to use the advanced backtest code to
> change
> > the trade values.
> >
> > --
> > Cheers
> > Graham Kav
> > AFL Writing Service
> > http://www.aflwriting.com
> >
> >
> >
> > 2008/5/30 zozuzoza <zozuka@>:
> > > Is there any way to reference the portfolio equity
> > > Foreign("~~~EQUITY", "C") in the buy formula itself?
> > >
> > > I guess that the portfolio equity is available after running the
> > > backtest so it cannot be referenced in the buy formula itself.
> > >
> > > I've checked the AddToComposite stuff but it is not clear how
it
> can
> > > be done.
> > >
> > > Is there a simple solution for this? Thank you.
> > >
> > >
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>
