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I have it for Mini-Forex as:
Initial equity = 1000
Positions = Long and Short
Periodicity = Daily
Allow position size shrinking
Reverse entry signal forces exit
Allow single bar trade (same bar trade)
MinShares = 130
Round Lot Size = 10 (Assuming 1 contract = 10 Lots)
Tick Size = 1
Commissions & rates = 0 //Assuming no slippages, would set it to 0.5
for trades > $1,000,000.00
Annual interest rate = 0
Margin requirement = 2
LB1=5;LB2=16;
//MaxOpenPos= LB = Optimize("MaxOpenPos",5,LB1,LB2,1); //Optimized
using UPI
MaxOpenPos= LB = Param("MaxOpenPos",5,LB1,LB2,1);
SetOption("MaxOpenPositions", MaxOpenPos );
MS1=130;MS2=390;
//MinShares = Optimize("MinShares",130,MS1,MS2,100);
MinShares = Param("MinShares",130,MS1,MS2,100);
SetOption("MinShares", MinShares);
PositionSize=-100/MaxOpenPos=-100/5=-20 Lots(-2 Contracts)
=MaxRisk*Equity/(-MDD/2);
/* Assuming MDD of 30% and verified by MCS. In reality, I limit my
MaxRisk to 10% per trade, eventhough Optimalf% based on Win/Loss
ratio of 96/4 comes out with a MaxRisk (Optimalf%) of 92%.
Historical Kelly Value for MaxRisk = 0.45 */
MaxRisk/trade=-2*(-300/2)/1000=0.3 = 30%
//TR1 = Optimize("TotalReturn1",0.25,0.10,0.50,0.05);
TR1 = Param("TotalReturn1",0.25,0.10,0.50,0.05);
//TR2 = Optimize("TotalReturn2",0.45,0.10,0.50,0.05);
TR2 = Param("TotalReturn2",0.45,0.10,0.50,0.05);
//TR3 = Optimize("TotalReturn3",0.45,0.10,0.50,0.05);
TR3 = Param("TotalReturn3",0.45,0.10,0.50,0.05);
//TR4 = Optimize("TotalReturn4",0.45,0.10,0.50,0.05);
TR4 = Param("TotalReturn4",0.45,0.10,0.50,0.05);
tr13 = TR1 * (C - Ref(C, -63)) / Ref(C, -63) * 100;
tr26 = TR2 * (C - Ref(C, -126)) / Ref(C, -126) * 100;
tr37 = TR3 * (C - Ref(C, -189)) / Ref(C, -189) * 100;
tr52 = TR4 * (C - Ref(C, -252)) / Ref(C, -252) * 100;
RSW = tr13 + tr26 + tr37 + tr52; //Plan to experiment with Most
Anchored Momentum (MAM) later
PositionScore = RSW;
Would be curious to know what you come up with. Feedback appreciated
from all.
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "pip_hunter_2003"
<pip_hunter_2003@xxxx> wrote:
> How to set up the AmiBroker 4.50 std for EURUSD Forex backtesting?
>
> I want to buy and sell only 1 slot / trade.
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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