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Al (and Oliver),
There's a minor (but AFL-compiler killing!) error to correct in the
code line:
PSize = -1*C/(m*ATR(StopPd); (--->unbalanced parenthesis error)
Here's the corrected line:
PSize = -1*C/( m*ATR(StopPd) );
Buzz
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> Olivier:
>
> I don't know what kind of stops you are using to establish your
stop level,
> but if it is based on volatility, you could use something like this
to limit
> your risk to 1% of current equity:
>
> StopPd = Optimize("StopPd",10,1,20,1); //period for ATR
> m = Optimize("m",2,0.5,3,0.25); // ATR multiplier
> ApplyStop(0, 2, m*ATR(StopPd),1); // max stoploss based on
volatility
> PSize = -1*C/(m*ATR(StopPd); // positionsize equal to 1% of current
equity
> PositionSize = Min(PSize,-50);
>
> Hope this helps.
>
> Al Venosa
>
>
> ----- Original Message -----
> From: "olivier_molongo" <olivier_molongo@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Sunday, July 04, 2004 4:22 PM
> Subject: [amibroker] Re: Which function gives "current portfolio
value"?
>
>
> > It is because I want to risk a maximum of 1% of my equity on any
> > trade. So I need to calculate Position1. I don't always want to
> > invest half of my equity.
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > > what's wrong with doing it the way the help file says to do it?
> > You're
> > > making it more complicated than necessary. Positionsize = -50;
> > will take
> > > 1/2 of the current equity.
> > >
> > > d
> > >
> > >
> > > _____
> > >
> > > From: olivier_molongo [mailto:olivier_molongo@x...]
> > > Sent: Sunday, July 04, 2004 3:36 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Which function gives "current portfolio
value"?
> > >
> > >
> > > > Hi,
> > > >
> > > > How can I get max position to be half of the portfolio value.
> > > >
> > > > I use the following function:
> > > >
> > > > Position = Min (Position1,Equity()/2) ; /* position1 is a
> > > > calculated value
> > > >
> > > > but amibroker will cap my position to half of the "initial"
> > > portfolio
> > > > value and not the current portfolio value. So if I start with
10
> > > 000
> > > > in equity and end up with 20 000, I expect to be cap at 10 000
> > but
> > > > Amibroker will always cap my position at 5 000.
> > > >
> > > > Is this a bug? How can I get the current portfolio value?
> > > >
> > > > Regards,
> > > > Olivier
> > >
> > >
> > >
> > > Check AmiBroker web page at:
> > > http://www.amibroker.com/
> > >
> > > Check group FAQ at:
> > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > >
> > >
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> > >
> > > _____
> > >
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> >
> >
> >
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> >
> > Check group FAQ at:
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> > Yahoo! Groups Links
> >
> >
> >
> >
> >
>
>
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