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Hi Tomasz,
Thank you for your prompt reply and kind explanation.
The PositionSize for MSFT that day = -2* 28.43 / (2*1.139)=-24.96
I would rather prefer to use:
PositionSize = -2 * 1-(2*ATR(10)); -4.278
to achieve that goal of 2% adjusted. So I get now in AA information:
04-Sep-03 MSFT 28.43*11.03=313.58
That means about 3% of current equity of 10,000 (no margin as befor).
Now I have 10 open positions (worst rank held set to 10).
Again, many thanks.
Gedi
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Gedi,
>
> The size of the position in the code below is NOT fixed at 2%.
> It is neither 2% of your initial equity.
>
> The position size term is:
> PositionSize = -2 * BuyPrice/(2*ATR(10));
>
> It means 2% of CURRENT portfolio equity ****ADJUSTED*** by BuyPrice/
(2*ATR(10))
> factor.
>
> Current porftolio equity is available cash + value of all open
positions.
>
> Now if your CURRENT portfolio equity is 10000
> and BuyPrice (say you have set trade price to OPEN) is 15.00
> and last 10 day average true range (ATR) is 4.5 then resulting
position size
> would be:
>
> -2 * 15 / ( 2 * 4.5 ) = -2 * 1.666 = -3.333
>
> That means 3.33% of current equity.
>
> This is what I called that this is 2% ADJUSTED by volatility factor.
>
> If stock had low volatility 10 day ATR would be 1.5 then you would
get -2 * 15 / 1.5 =
> - 20 -> 20% of equity
>
> The adjustment I mentioned increases the size of position
> if volatilty (risk) of stock is low.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "telecheck1" <w_end@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, October 07, 2003 9:50 AM
> Subject: [amibroker] Re: Q from Holygrail Board
>
>
> > 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
> > >
> > >
> > >
> > >
> > >
> > > ---
> > > Outgoing mail is certified Virus Free.
> > > Checked by AVG anti-virus system (http://www.grisoft.com).
> > > Version: 6.0.522 / Virus Database: 320 - Release Date:
9/30/2003
> > >
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