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Thomas: what a great solution!! So simple. Makes me want to know why I
couldn't figure it out. Thanks a million. I'll try it out.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=tchan95014@xxxxxxxxx
href="">tchan95014
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, October 24, 2003 12:12
AM
Subject: [amibroker] Re: Question on
Position Size
Al,How about this? Adding the E1 as a percentage of
current equity and add it to the 2% initial
value?E=Equity(1);NetE = E-100000; //net
profitE1=iif(NetE>=10000,0.05*NetE,0);E2 = E1 / E *
100;PositionSize = -(2 + E2);Thomas--- In <A
href="">amibroker@xxxxxxxxxxxxxxx, "Al
Venosa" <advenosa@x...> wrote:>
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> > -----
Original Message ----- > From: Phsst >
To: 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
this> subject... 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*** 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.>
-----------------------------------------------> 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 far> stumped me. It has to do with the positionsize
function. Suppose I'm> using 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 above> equation,
such as increasing the position size by adding 5% of
profits> to 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
or> 498. I guess what I am asking is, how does Amibroker
know that a> negative number actually means a percent of
current equity, and how> does one add to that amount if
he wants to increase his bet size? > >
> > Al Venosa> >
advenosa@xxxx> > > >
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