--- In [email protected], "dbwyatt_1999" <dbw...@...> wrote:
>
> I know setting PositionSize based on Equity and Trade Risk has been the topic
> of numerous threads and writeups, but I'm missing some understanding. I'm
> backtesting a portfolio of futures contracts and would like to set the
> Position size of each trade based on each trade's risk (i.e. abs(entryPrice -
> stopPrice)) and a percent of the current portfolio Equity value. I
> understand that to get the current portfolio Equity, I need to use the custom
> backtester. The custom backtester also gives me access to all the data I
> need to calculate a new PosSize except my stopPrice values.
>
> What is the easiest way to access my backtester Phase 1 stopPrice array in
> the custom Phase 2 backtester for each trade so that I can calculate a new
> PosSize? Using AddToComposite() and Foreign() does not seem like an option
> because I want my individual stop values for each instrument, not a portfolio
> composite of all stop values. Or maybe I would have to create a separate
> composite for each instrument. Or do I have to resort to something like
> writing and reading files or developing a custom DLL to store the stopPrices
> between the backtester Phase 1 and the custom backtester Phase 2? Hopefully,
> I'm just not understanding something and there is an easier way. I would
> think that accessing Phase 1 backtester variables in Phase 2 would be pretty
> common; especially for calculating custom metrics.
>
> Thanks for any suggestions or insights.
>
> Regards,
>
> David
>
