|
PureBytes Links
Trading Reference Links
|
Thanks, Phsst, but that's not really what I asked. I read and understood
that post by TJ. What I wanted to know was how do you ADD a factor to the % of
current equity. I could just have easily asked the same question using TJ's
example (in fact, this is more in lne with what I'd really like to know):
PositionSize = -2*buyprice/(2*ATR(10));
If the buyprice is 30 and the ATR is 1, then the above equation is -2*30/2
= -30, which is 30% of current equity, or $30,000. How do I ADD to the
above 5% of net profits over $10,000 and adjust that amount by the
buyprice/2*ATR?
E=Equity(1);NetE =
E-100000;E1=iif(NetE>=10000,0.05*NetE*buyprice/(2*ATR(10),0);
I want to add the last amount to the first positionsize statement. However,
the following statement is not the correct way to do it:
PositionSize = (-2*buyprice/(2*ATR(10))) + E1;
In that case, algebraically, it would be -2*30/2 + 0.05*10000*30/2 = -30 +
7500 = 7470, which is not the correct answer. The correct answer that I'm
looking for is 2% of 110,000*30/2 + 5% of 10000*30/2 = 33000 + 7500 = 40,500.
What this boils down to after factoring is (30/2)*(2200+500). The 2200 + 500
represent 2.4545% of current equity (2700/110000) adjusted by buyprice/2*ATR.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Phsst
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, October 23, 2003 10:14
PM
Subject: [amibroker] Re: Question on
Position Size
Al,I have clipped a couple of notes that Tomasz
published on thissubject... hope they
help.Phsst--------------------------------------------------------------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*** byBuyPrice/(2*ATR(10))factor.Current
porftolio equity is available cash + value of all open positions.Now
if your CURRENT portfolio equity is 10000and BuyPrice (say you have set
trade price to OPEN) is 15.00and last 10 day average true range (ATR) is
4.5 then resultingposition size would be:-2 * 15 / ( 2 * 4.5 )
= -2 * 1.666 = -3.333That 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 positionif volatilty (risk) of stock is
low.-----------------------------------------------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
:-)------------------------------------------------- In
amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:>
Hi, all:> > I'm embarrassed to ask this simple question, but it
has so farstumped me. It has to do with the positionsize function. Suppose
I'musing the following positionsize statement with an initial equity
of$100,000:> > PositionSize = -2; //invest 2% of current
equity in each trade or $2000> > Now, suppose I wanted to add a
term to the right side of the aboveequation, such as increasing the
position size by adding 5% of profitsto future purchases after making
$10,000. I first define net equity,then define the % of profits to be
added:> > E=Equity(1);> NetE = E-100000; //net
profit> E1=iif(NetE>=10000,0.05*NetE,0);> > What would
the new positionsize statement be? Obviously, it would not be> >
PositionSize = -2 + E1;> > because algebraically, the right side
of the equation is -2 + 500 or498. I guess what I am asking is, how does
Amibroker know that anegative number actually means a percent of current
equity, and howdoes one add to that amount if he wants to increase his bet
size? > > Al Venosa> advenosa@xxxx> >
> ---> Outgoing mail is certified Virus Free.> Checked by
AVG anti-virus system (<A
href="">http://www.grisoft.com).> Version:
6.0.525 / Virus Database: 322 - Release Date: 10/9/2003
Send 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.
<BLOCKQUOTE
><FONT
face="Courier New">---Outgoing mail is certified Virus
Free.Checked by AVG anti-virus system (<A
href="">http://www.grisoft.com).Version: 6.0.525
/ Virus Database: 322 - Release Date:
10/9/2003
Yahoo! Groups Sponsor
ADVERTISEMENT
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.
|