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Mr. V:
Try this one-liner: PositionSize = -1 * BuyPrice/(n*ATR(10),m);
The minus 1 says to risk 1% of current equity ($1000 on a $100,000
portfolio), which is Tharp's recommendation. The rest of the equation says to
adjust that risk by the buyprice/volatility. The volatility denominator
determines how many shares to buy. Thus, if the ATR multiplier, n, is 2, then
the no. of shares is 1000/2ATR, and when you multiply that by the buyprice, you
get the actual dollars invested by Amibroker.
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Mr Valley
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">Amibroker
Sent: Friday, November 28, 2003 10:46
PM
Subject: [amibroker] AmiBroker Tharp
System Testing Template
<SPAN
class=125580103-29112003>Has anyone coded a Tharp
Volatility based template for AmiBroker they are willing to
share?
<SPAN
class=125580103-29112003>
I would like to
test Tharp's expectancy, position sizing @ 1% risk and % volatility entry and
exit stops based on Equity() and R-Multiples
...Like the book,
to begin with...
<FONT face=Arial
size=2>
I'm not good at
coding Stops, yet.
<FONT face=Arial
size=2>
As an aside, Why
is there a difference between ATR(239) and MA(ATR(1),239) ?
Which is correct,
the MA?
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>Thanks,
Mr.
Valley
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>
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