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Re: [amibroker] Re: Q from Holygrail Board



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Hello,

For similar results you may use also:

PositionSize = -2 * BuyPrice / (20*ATR(10) );

(would be then 2.5% of equity for MSFT for that day).

but anyway feel free to experiment :-)

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message ----- 
From: "telecheck1" <w_end@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, October 07, 2003 11:05 AM
Subject: [amibroker] Re: Q from Holygrail Board


> 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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