Thanks, Mike. The "Allow position size shrinking" trick basically
does what I need. Although, I don't understand the 2nd part about the
custom backtester code. Is there any documentation about the advanced
backtest code?
There is one issue I cannot solve. I would like to have in the Buy
condition the following.
MA(C,5)*MA(V,5)*50>Foreign("~~~EQUITY", "C")
i.e. if the equity grows, the non liquid stocks will be ignored.
How is it possible code this? The above example does not work.
--- In [email protected], "Mike" <[EMAIL PROTECTED]> wrote:
>
> 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" <zozuka@> 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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> >
>
