|
PureBytes Links
Trading Reference Links
|
David,
With the release 4.43 you can do that.
PositionSize variable allows you to control the position
sizing on PORFOLIO level.
Negative values assigned to it specify the PERCENTAGE of
PORTFOLIO equity to be invested.
So for example, if you want to have no more than 5
simultaneously positions open
specify
SetOption("MaxOpenPositions", 5 );
PositionSize = -100/5; // 20% of PORFOLIO equity
You may also adjust the position size depending on risk
(volatility) of given stock:
PositionSize = -2 * BuyPrice/(2*ATR(10));
That way you are investing investing 2% of PORTFOLIO equity in the trade
adjustedby BuyPrice/2*ATR factor (the higher volatility the less part of
portfolio funds you would put into trade)
As for second part of your question, you can also use ranking
criteria to specify which trades
are preferred if there are too many candidates than allowed
positons or available cash:
An easy example from the read me:
PositionScore = 100 - RSI();
will tell backtester to prefer stocks with low RSI (high
position score).
AmiBroker would enter trades starting from trade of the
highest score until it reaches maximum open pos limit
or no more cash is available.
More info is provided in the read me file.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
mrdavis9
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibrokeryahoogroups
Sent: Tuesday, October 07, 2003 1:51
AM
Subject: [amibroker] Q from Holygrail
Board
I saw this on the Holygrail board, so I am
passing it along to this board. Ron D
----- Original Message -----
From: <A
title=wjones5@xxxxxxxxxxxxxxx href="">Ward
Jones
To: <A title=holygrailsm@xxxxxxxxxxxxxxx
href="">holygrailsm@xxxxxxxxxxxxxxx
Sent: Monday, October 06, 2003 6:33 PM
Subject: [holygrailsm] Re: amibroker questions.
My friend DAve Johnson sent, to me, the following email that I am
incorporating here with a (his) request for information about
AmiBroker's backtesting capabilities. Any helpful responses will be
most appreciated. Thanks in advance.
WardWard,If you can, ask these knowledgeable people if there
is a way in Amibroker to simulate position sizing. The issue with
backtesting is not generating the trades, it's knowing which trades to
take and how much money to put into each one. Many trading systems
suffer from a condition known as clustering, where many of the trades
happen in just a few days. These systems look great statistically,
but trade unprofitably because most of the time you are not trading at
all (no trades), and when you do get trades you get too manyto take.
So, what would really be helpful is if you can specify equity positions in
each trade, specify the limits of equity in all positions (so it's
realistic), and then define some "tie breaker" ranking criteria if there
are too many trades to determine which ones you enter. Anything you
can find out relative to these questions would be
helpful.Thanks,David
---Outgoing mail is certified Virus
Free.Checked by AVG anti-virus system (<A
href="">http://www.grisoft.com).Version: 6.0.522
/ Virus Database: 320 - Release Date: 9/30/2003Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|