Re: [amibroker]

["CS" <csaxe@xxxxxxx>]

Andrew,
 
1) Don't know. I use flat fees.
 
2) Not true. You can control how much is used. Go to 
HELP/SEARCH and enter POSITIONSIZE.
For instance, I do futures so I use MarginDeposit and can 
control how many contracts are bought and when by entering the following below 
the buy and sell rules:
 
EQ=<FONT color=#8b0000 
size=2>Equity(<FONT color=#800080 
size=2>1);
MD=<FONT color=#ff0000 
size=2>MarginDeposit<FONT 
face=Tahoma>;
PositionSize<FONT 
size=2>=IIf(EQ < (<FONT 
size=2>10 * MD<FONT 
size=2>),-10<FONT 
face=Tahoma>, 5*MD);
// This will limit position to 10% of equity until equity is 
built to 10 times whatever my margin is. Then, the positions for later trades 
will be limited to 5 contracts.
Its pretty unreasonable (for me) to backtest and have AB enter 
450 contract buys.
 
other 2) I don't think so, not 
after a trade in that direction is already entered.
 
-CS
 
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Andrew 
  Smith 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Sunday, March 02, 2003 1:07 
PM
  Subject: [amibroker] 
  
  Hi folks.
   
  Ive spent the last months testing literally 
  dozens of different systems on different types, and periods, of data. 
  I always set the commission to 1% using the 
  settings menu and the results I get are varied. Some systems give over 100% 
  and others give -100%. However, taking the best 
  system and changing one or two variables (all the systems have optimisation 
  parameters) slightly turns and excellent system into a negative 
  expectancy system. So does using the same system on a different time period of 
  the same "filter" in the backtester. The results seem to be random and 
  not system based in that none 
  produce consistently good or bad results.
   
  The next step would be to use position sizing and 
  pyramiding contracts to see if this makes results more constant, but I have a 
  few questions that perhaps someone can help with. If this info is already 
  documented anywhere, could someone point the way? Many thanks 
  ...
   
  1) I noticed 
  someone recently pointed out that using a % for trading costs means that AB 
  uses that % of equity
   
  2) I also read that AB uses ALL equity 
  for each trade. Is this true? This is NOT how I would operate so, this 
  makes the results I get from backtester useless. How can you simulate trading 
  costs and spread when using position sizing algorithms?
   
  2) If I get two or more signals in the same 
  direction (a trend) how can I open ANOTHER position? Is this possible to 
  code? 
   
  Thanks.
   
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