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I set this up and it is working fine but I have a problem now.
Sometimes this is giving me too big positions so I need to cap the
number of stocks my system can buy to for exemple 1% of average
volume of the stock considered. To do this I need to get the function
that gives "curent portfolio value".
Equity() gives original portfolio value.
What function should I use?
Regards,
Olivier
--- In amibroker@xxxxxxxxxxxxxxx, "olivier_molongo"
<olivier_molongo@xxxx> wrote:
> Thank you Al, Thank you Buzz.
> I thought I would never get an answer to this question :) Thanks a
> lot!
>
> Olivier
>
> For those interested in this, you should use:
> PositionSize = Max(PSize,-50);
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> > Thanks, Buzz. I do that all the time. Very sloppy. :-(
> >
> > AV
> >
> >
> > ----- Original Message -----
> > From: "buzzmr" <buzzmr@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Monday, July 05, 2004 3:56 PM
> > Subject: [amibroker] Re: Which function gives "current portfolio
> value"?
> >
> >
> > > 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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