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if you want to pyramid , I suppose you want ( it is an example)
july1= buy1 with positionsize1 at entryprice1
july15=buy2 with positionsize2 at entryprice2
with ( simple case ) positionsize1=positionsize2;
july30=sell ( all the position size)
what does the backtester: It takes the first entry( july1) and sell
on july30
for buy1 the gain will be (Exitprice/entryprice1 - 1)*positionsize
for buy2 the gain will be (Exitprice/entryprice2 - 1)*positionsize
if we want to simulate adding position, we must compute the
newpositionsize at buy1 with this equation
Xp=exitprice;
Ep1=entryprice at buy1;
Ep2=entryprice at buy2;
P=positionsize( assume it is fixed)
N=new computed positionsize
(Xp/Ep1)*P + (Xp/Ep2)*P = ( Xp/Ep1)*N ;
N = P * ( Xp/Ep1 + Xp/Ep2 ) * (Ep1/Xp);
N = P * (Ep1/Ep2) ;
> I read you post a few times, but I am not sure I understand the
> problem.
>
> Let's say I pyramid once only, with double the position size, I
> assumed that the first buy is set with postionsize, then
liquidated
> via a Sell statement at some future date (according to some
cond1),
> resulting a accurate LONG profit. You then adjust postionsize and
buy
> again on the same day, liquidating again later according to some
> cond2, with an accuate LONG profit again.
>
>
> can you clarify for me what the issue is?
>
>
> Steve
> --- In amibroker@xxxx, "nenapacwanfr" <nenapacwanfr@xxxx> wrote:
> > It seems the backtester takes one entry and one exit
> > and the profit is calculated for LONG with
> > ((ExitPr/EntryPr1)-1)*Positionsize
> >
> > if you take adding position
> > that means
> > you'll have multiples
> > ((ExitPr/EntryPr2)-1)*Positionsize
> > ((ExitPr/EntryPr3)-1)*Positionsize
> >
> > if you want to be right that means you must solve an equation to
> > know what would be the right position size at entryPr1 if all
the
> > adding position have been taken.
> >
> > Hmmm!
> >
> > stephane
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