David, What answer did you receive for this?
Best, Whitney --- In [email protected], "david.weilmuenster" <dweilmuenster95...@...> wrote: > > I am testing a system in which one particular position is scaled in/out daily > to achieve a given target value on the Close. The results of my scaling > aren't as accurate as the test requires. > > I am using the custom backtester and start the scaling after executing all > other entry/exit signals and after calling updatestats(bar,1). > > At that point, I find the open position to be scaled (call it openpos) and > use openpos.getpositionvalue() to determine the current value of that > postiion. > > Last, I scale the position with: > > bo.scaletrade > (bar, > openpos.symbol, > new _value > openpos.getpositionvalue(), > openpos.getprice(bar,âcâ), > abs(new_ value - openpos.getpositionvalue() > ); > > where new_value is the target value for the position on the Close and comes > from calculations earlier in the test. > > The actual value of the position after the Close (and updatestats(bar,2)) is > usually different from new_value by something in the range of +/- 2%. This > is with roundlotsize and commissions set to zero, and a very largin margin > allowance so that the position is not capped. > > That's not bad, but probably not good enough for the purpose of this test. > > Any suggestions on how to hone the scaling so that I get within +/- 0.5% of > the target value? > > > Thanks, > David >
