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Andrew,
Go to HELP in AB and read the tutorial: " Back-testing
systems for futures contracts "
Although you don't use contracts, you can bet (buy) more than
one contract at a time to simulate different bet sizes and number of
bets.
To enter a constant point value for individual
securities, go to SYMBOL > INFORMATION and see the entry for <FONT
color=#0000ff>point value (bet size). The gain or loss will be multiplied
by that value.
To control point value within your formula so it can be easily
changed, use a PointValue= line.
If you are betting 50 per point, try <FONT
color=#0000ff>PointValue=50.
If you are doing one bet at PointValue=50, then buy one
contract. Two contracts for two bets & etc.
Since you may not require any margin to place a bet, try
MarginDeposit=1.
Then, if you want to place 1 bet at
PointValue=50, use <FONT
color=#0000ff>PositionSize=MarginDeposit.
To place 2 bets at PointValue=50,
use PositionSize=2*MarginDeposit.
AB is wonderful at controlling positions and sizes. In the
future TJ will include the ability to add to or liquidate <FONT
color=#ff0000>existing positions. With the increasing popularity of
single stock futures (not to mention those of us working commodities for years),
TJ has wisely included some basic features for a growing segment of traders. I'm
eager for more to come.
One final note:
In -
Stoptrigger=MA(c,8);
stop=abs(c-stoptrigger);
Be sure to keep track of the point value for each point of
gain or loss. If you set your stop by a difference in points and then compare it
to your risk (0.02*Equity), that won't be accurate if you lose 50 pounds for
every point the chart falls by.
-CS
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Andrew
Smith
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, March 12, 2003 11:21
AM
Subject: [amibroker] Point value
/position size and spreadbetting ... help please ...
Hi. Im stuck. I wonder if anyone can
help...
I've desgined a system that seems to work when I
back test it as if I were buying/selling equities.
However, I intend to operate it in a UK
spreadbetting account. I dont know if this is available in the US, but
basically, you decide on a "bet size" and bet in the direction you think a
share/index/commodity will go. For example, lets say my system tells me to
sell Microsoft, I can "bet" £1 - £50 per point (cents, pence etc) move. So if
I bet £10 per point that MSFT will fall, and MSFT goes down 20 points, my
account is credited with £200 ... and vice versa. Very simple.
Now, Im stuck on how to program this in AB using
the position size, pointvalue and num contracts, etc. Can someone tell me if
my logic is correct?
1) Im expetcing to be in positions for days/weeks
so I buy on close or open next day using a simple breakout system, so Im
always above (long) or below (short) a moving average. Lets say Im going
long and I decide the "points" I am prepared to lose will
be the difference between my entry and an 8 day moving average:
stop= abs(c - MA(C,8));
2) I will be risking 2% of my current equity on
every operation: risk = round(0.02*Equity()); NOTE: Ive also tried setting
risk to a fixed value, 200, and it still doesnt give meaningful
results.
3) As contracts per se dont exist, I set the
numcontracts to 1. Im not sure this is correct, but it seems logical as
bet size or pointvalue is variable. In futures you buy variable numbers of
contracts and have a fixed point value, in spreadbetting you decide your own
point value and dont "buy" any contracts at all.
4) The number of points to the stop must be less
than the £ risk for the position to be affordable: for example, if the stop is
40 points away, and my risk is calculated to be 200, my bet size will be 5. If
I am stopped out right away, I will lose 5*40 = 200. If the stop is 300 points
away, and my risk is 200, I cant enter that position (bet size<1 is not
allowed by the system)
5) Pointsvalue will be:
pointvalue=round(risk/stop);
6) I have absolutely NO idea how to use
positionsize in this set up ... Do I need it? Should I set
positionsize=-2?
7) Futures mode is ON when I back
test.
8) I have also no idea how to set margindeposit,
cos there isnt any "deposit" made, so I havent included it in the
coding..
Here is my final code:
Stoptrigger=MA(c,8);
Numcontracts=1;
E=Equity(1,-1);
stop=abs(c-stoptrigger);
risk=0.02*E;
buy=rule1 AND risk>stop;
short=rule2 AND risk>stop;
cover=rule3;
sell=rule4;
pointvalue=round(risk/stop);
This gives me exponential negative numbers in the
backtest (and low positive numbers in the simple equity back test) ... so I
think Im doing something wrong ... what coding have I missed out to be able to
run the backtester OK?
Any ideas anyone?
Thanks ...Send
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