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Keith:
A couple of observations. First, in your assignment of Eqty=50000 and your
subsequent assignments of Max_Trade, Max_risk, etc., you are not compounding
your profits. In order to compound, you should use a negative sign for your
positionsize statement. To simplify, all you need are 2 statements:
SetOption("InitialEquity",50000); //this hard codes your initial equity or
it can be set in Settings
PositionSize = -1 * BuyPrice/(2 * ATR(10));
The second line above says risk 1% of CURRENT equity (not just INITIAL
equity) adjusted by the buyprice divided by volatility (if you have set your
buyprice to be the open, which is not clear from your message). The way you are
doing it, your investment will always be a constant 1% of $50,000 regardless of
how large your equity grows. I presume you are using a 1-day delay between
the buy signal and the actual entry. In other words, you can hard code this as
well with the following statement: SetTradeDelays(1,1,1,1);
In your position size code lines, you state that, if PosSize2
>=Max_Trade, use Max_Trade, otherwise use possize2. This mixes units: the
units of Max_Trade is dollars, which in your case is $5000, whereas the units of
PosSize2 is shares. It makes no sense. Thus, mathematically, in order for your
possize2 to ever be >= Max_Trade, the ATR must be less than 0.05, which is
very tiny unless you are buying penny stocks. Thus, most if not all of the time,
your positionsize will be equal to possize2, which is in shares. PositionSize in
Amibroker is always in dollars. So, make sure your units always match. If you do
not want to compound your winnings, then my interpretation of what you want
is:
Eqty = 50000;
Max_Trade = 0.1*Eqty;
Risk = 0.01 * Eqty;
PositionSize = Min(BuyPrice*risk/ATR(10), Max_Trade);
As to your question about the program missing some stocks, Chuck suggested
a possible reason in regards to your roundlot size. Is it also possible that the
stocks missed are relatively new issues that don't have the same history as the
other stocks in your watchlist? You didn't mention your date range. Eventually,
those stocks will trade, according to your code, even though they came into
existence later than the others in your watchlist. Did you check the entire
trade list to see if those 4 stocks did eventually trade later?
Regards,
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=traderkeith2000@xxxxxxxxxxxx
href="">Keith Osborne
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, January 07, 2004 12:55
AM
Subject: [amibroker] Portfolio Backtester
& Watchlist - Help required
Hi, can anyone help
me with the following code. It is a simple system I coded to understand how
the backtester works.
The postion sizing
and the trailing stop portions work fine but when I run this code against the
backtester using a watchlist of some 50 stocks then it does not pick up the
5th, 6th, 8th and 10th stocks in the watchlist and create a long position.
<SPAN
class=363443701-07012004>The question I have is "does the backtester evaluate
each stock in the order of the watchlist", if so why does it miss some stocks
and pick the next one?
<SPAN
class=363443701-07012004>TIA....Keith
<SPAN
class=363443701-07012004>Code......................
Eqty = <FONT
face=Arial>5<FONT color=#ff00ff
size=1>0000;<FONT
face=Arial>Max_Trade = <FONT color=#ff00ff
size=1>0.1*Eqty; // 10%
of Equity per trade //Max_Risk
= 0.01<FONT
size=1>*Eqty; // 1% of Equity at risk on
each trade //ATR_risk
=2<FONT
size=1> ; // Multiple of ATR for position
sizing calcs //PosSize2 =
Max_Risk/(ATR_risk*<FONT color=#0000ff
size=1>ATR(<FONT color=#ff00ff
size=1>10)); // No. of
Shares based upon risk and ATR //<FONT
face=Arial>PositionSize = <FONT
face=Arial>IIf<FONT
size=1>(PosSize2>=Max_trade, Max_trade,possize2); <FONT
color=#008000 size=1>// Positon sizing based upon equity or risk limits
//// SYSTEM AREA
//trailstopamount =
2<FONT
size=1>*ATR(<FONT
color=#ff00ff size=1>10); <FONT color=#008000
size=1>// The stop used is a trailing stop defined as a multiple of ATR(10)
//// The system is
very simple...Buy<FONT
face=Arial> = C><FONT color=#ff00ff
size=1>0;<FONT
size=1>Sell = C<<FONT color=#ff00ff
size=1>0;<FONT color=#0000ff
size=1>ApplyStop<FONT
size=1>(2,<FONT
color=#ff00ff size=1>2<FONT
size=1>,trailstopamount,True,True);<FONT
face=Arial color=#008000 size=1>//PositionScore = 100-RSI(); // Prefer stocks
that have low RSI;<FONT
face=Arial>AddColumn<FONT
size=1>(PositionSize,"Pos
Size",1.0<FONT
size=1>);<FONT face=Arial color=#008000
size=1>//AddColumn(PositionScore,"Pos Score",1.2);<FONT
color=#0000ff size=1>AddColumn<FONT
face=Arial>(posSize2,<FONT color=#ff00ff
size=1>"POSsize2",<FONT color=#ff00ff
size=1>1.0);<FONT color=#0000ff
size=1>AddColumn<FONT
size=1>(ATR(<FONT
color=#ff00ff size=1>10),<FONT color=#ff00ff
size=1>"ATR",<FONT color=#ff00ff
size=1>1.4);<FONT color=#0000ff
size=1>AddColumn<FONT
size=1>(trailstopamount,"Trail
Stop",1.4<FONT
size=1>);<FONT
face=Arial>AddColumn<FONT
size=1>(C,"Price"<FONT
size=1>,1.2<FONT
size=1>);Send BUG REPORTS to
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