Hi Ed,
I don't use MaxOpenPositions because it pertains to open positions in multiple
symbols at one time, (Portfolio trading).
I can set it to 3 and still easily open more than 3 contracts at a time in one
symbol, like the old backtester. And that's all I'm trying to do.
Just increase or decrease the number of contracts to trade in just one symbol,
depending on the current equity.
Using:
Eq = Foreign("~~~EQUITY", "C");
Does return the correct equity for use in a backtest, but the backtest button
has to be pushed twice.
I think that in the end, unless I'm missing something simple, I'll have to
manually program separate code to keep track of my equity.
-CS
----- Original Message -----
From: Edward Pottasch
To: [email protected]
Sent: Thursday, May 28, 2009 3:02 AM
Subject: Re: [amibroker] Using Equity to Compute Position Size
Hi Corey,
you can use equity but indeed you need one level deeper inside the backtest
code. What I do not understand is why MaxPositions does not seem to work on a
higher level backtest. Will ask Marcin later.
I will maybe try to code using Equity in the custom backtester later.
But on a higher level in the backtester you need to use PositionSize for
reasons Graham gave.
I use Equity on this higher level though. For instance I have written code
that takes a profit per day at e.g. 500$, or per trade at e.g. 150$. What I do
is that I let the code first calculate the equity without these restrictions
and then feed the resulting equity into a procedure that takes the profits. So
basicly within 1 AFL code the equity curve is calculated twice.
But I do not see you can use that for your question.
And yes if you use:
PositionSize = -10;
SetOption("MaxOpenPositions", 3);
RoundLotSize = 1;
MarginDeposit = 5000;
TickSize = 0.25;
PointValue = 50;
the equity curve should not be able to explode because the MaxOpenPositions
is set to 3. But I also see it explode because it takes more than 3 positions
as the equity increases. This seems to be wrong. I will ask marcin or TJ.
regards, Ed
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