Hi Ed,
That is the problem.
You can use almost any metric to adjust positionsize, and it works.
The problem occurs if you want to use equity in some form to calculate the
positionsize.
I have used a more complicated form of the code below in Excel with
considerable success:
MinContracts=1;//Optimize("Min Contracts",1,1,5,1);
MaxContracts=10;//Optimize("Max Contracts",20,5,25,1);
Margin=MarginDeposit;
PctEq=PctEq/100;
eq=Equity();
PS=Min( MaxContracts * Margin , Max( PctEq * Eq , MinContracts * Margin ));
PositionSize = PS;
But in AB, for a while, while it trades just one contract, it works just fine,
then for some reason the equity blows up to the millions very quickly
and has nothing to do with reality. (Gee, it would be nice if blowing up to the
millions was reality.)
-CS
----- Original Message -----
From: Edward Pottasch
To: [email protected]
Sent: Thursday, May 28, 2009 1:04 AM
Subject: Re: [amibroker] Using Equity to Compute Position Size
Corey,
I believe your question is answered here:
http://www.amibroker.com/guide/h_futbacktest.html
under the paragraph "Margin deposit"
Just tested myself:
PositionSize = -10;
SetOption("MaxOpenPositions", 3);
setting inside Amibroker (Information Window) the Margin Deposit at 5000,
Roundlotsize at 1 and initial equity at 100000. What I find is that it indeed
increases the number of positions once enough equity is available, however it
does not stick to the maximum open positions for some reason. Not sure why,
Ed
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