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Hi Tomasz,
I am quiet confused, using the sample on N100 list , last 30 days I
get:
04-Sep-03 Enter Short MSFT 28.43 price * 124.708 Shares = 3545.44
while my equity is 10,000. It is more then 2% of equity. Please
advise.
Thanks,
Gedi
EnableRotationalTrading();
SOV1=21;
BBandWid = 2;
UBBand = BBandTop(Close, SOV1, BBandWid);
LBBand = BBandBot(Close, SOV1, BBandWid);
rScore = 50 - 100 * (Close - LBBand) / (UBBand - LBBand) ;
PositionSize = -2 * BuyPrice/(2*ATR(10));
PositionScore = rScore;
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> 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 adjusted
> by 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 Janeczko
> amibroker.com
> ----- Original Message -----
> From: mrdavis9
> To: 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: Ward Jones
> To: 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. Ward
>
> Ward,
>
> 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 many
> to 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
>
>
>
>
>
> ---
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