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Andy,
TJ mentioned something that I wasn't aware of:
Dale,There is a typo in the guide, it
should say:PositionSize = MarginDeposit = 1;alsoTrading
futures involves margin.If you want to trade single STOCK you should
write:PositionSize = BuyPrice;and do not turn on Futures
mode.Best regards,Tomasz
Janeczkoamibroker.com
For the runs that I make,
everything came out OK so I wasn't aware of it.
I would use pointvalue to
describe your pounds per point bet size, and use the number of contracts to
decide how many bets that you have laid on.
I have to go now, but will
return to this in morning...
Meanwhile, experiment and
check the results. That's how I fill in the missing blanks.
-CS
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=andy_kovacs@xxxxxxxxxxx
href="">andy_kovacs
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, March 12, 2003 1:55
PM
Subject: [amibroker] Re: Point value
/position size and spreadbetting ... help please ...
Dear CS - Thats a great help - I put it in and it
came out with a "reasonable" positive value instead of an exponential
negative value! By the way, I read the tutorial, but dont really
understand how to use positionsize...This is the new code: does it
make sense?NumContracts =
1;E=Equity(1,-1);MarginDeposit=1;PositionSize=MarginDeposit;PointValue
= round(E*0.02/abs(C-AR));(AR is a Mov.Av. value, a number of points
above/below entry, and pointvalue has to be >1 for buy/short
signal)Also, refering to your reply, theres one thing I dont
understand. You said: "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."Does this mean I should keep pointvalue fixed, and
vary numcontracts? Or will my fixed numcontracts and variable PointValue
= round(E*0.02/abs(C-AR)) work? - I mean its already working, but can
I trust the results, or is it "dodgy" programming likely to give me
erroneous results?Thanks again.--- In
amibroker@xxxxxxxxxxxxxxx, "CS" <csaxe@xxxx> wrote:>
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 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 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
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 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> ----- Original Message -----
> From: Andrew Smith > To:
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 ...>
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