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RE: [amibroker] Re: Sector Trading (Pankin and Yurconis Approaches)



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Stephane,
 
I'm not completely sure, but, I think this will work for you;

NumContracts = <FONT 
color=#ff00ff>100;
PositionSize = <FONT 
color=#0000ff>Min((NumContracts * 
MarginDeposit),Equity<FONT 
size=2>());
 
Greg
 
<BLOCKQUOTE dir=ltr 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Greg 
  
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Monday, March 29, 2004 9:41 
PM
  Subject: Re: [amibroker] Max number of 
  contracts to trade
  
  Stephane,
   
  This might be part of the puzzle. I think you will need to include the 
  following.
   
  
  NumContracts = <FONT 
  color=#ff00ff>100;
  PositionSize = Max((NumContracts * 
  MarginDeposit),-100);
  Good luck,
   
  Greg
  <BLOCKQUOTE 
  >
    ----- Original Message ----- 
    <DIV 
    >From: 
    <A title=s.carrasset@xxxxxxxxxxx 
    href="">Stephane Carrasset 
    To: <A title=amibroker@xxxxxxxxxxxxxxx 
    href="">amibroker@xxxxxxxxxxxxxxx 
    Sent: Monday, March 29, 2004 4:56 
    PM
    Subject: [amibroker] Max number of 
    contracts to trade
    
    
    Hello,
     
    Have you an idea how to set  the maximum 
    of contracts to trade
    for example I have a system, it buys or sells a 
    number of contracts according to 100% of the equity
    but I want that the maximum of contracts 
    will be 100.
    because the results becomes unrealistic when 
    the system trades > 4000 contracts.
     
    
    MarginDeposit = <FONT 
    color=#ff00ff>3500;
    RoundLotSize = <FONT 
    color=#ff00ff>1;
    PointValue = <FONT 
    color=#ff00ff>10;
    PositionSize=<FONT 
    size=4>Max<FONT 
    face="Courier New">(NumberContracts=100<FONT 
    face="Courier New">,-100/*100% 
    Equity*/);// not work
     
    <FONT face=Arial color=#000000 
    size=2>Stephane<FONT face="Courier New" 
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    Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend 
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