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[amibroker] Re: PositionSize / Capital



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ATR shows volatility in absolute terms (cannot predict direction or 
duration, only activity levels), so, lower price stocks will have 
lower ATR levels than higher price stocks.  A $10 stock would have a 
much lower ATR value than a $50 stock, hence, one would end up buying 
more shares of the $10 stock than the $50 stock.

rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "danielwardadams" 
<danielwardadams@xxxx> wrote:
> 
> I was gone most of the day so didn't have a chance to keep up with 
> the posts.
> 
> I agree that the results are the opposite of what one would expect. 
I 
> think in the cases you cite, the formulas should be 
100,000*Risk/ATR. 
> So if your risk tolerance is 2% and the ATR is 2, the position size 
= 
> 100,000*.02/2 = 2000/2 = 1000 where the 1000 is shares of stock and 
> is independent of the price of the stock, i.e., you can buy 1000 
> shares of ANY priced stock that has an ATR of 2 and your risk would 
> be the same. In the case of the $50 stock, your position equity 
would 
> be $50*1000 = $50,000 when ATR=2. Similarly, you could buy 
> twice (not half) as much of the stock when ATR=1.
> 
> Although the position sizing being independent of the price of the 
> stock seems counterintuitive, I just reread the chapter in Van 
> Tharp's book on this ("Trade Your Way to Financial Freedom") and I 
> think that's the way it's supposed to be.
> 
> I'm not sure what this means for our 20% maximum position equity 
> allocation (to achieve diversification).
> 
> Dan
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, Al Venosa <advenosa@xxxx> wrote:
> > Ed:
> > 
> > Your formula doesn't make much sense to me. The term stoploss/ref
> (C,-1) 
> > is simply the volatility of the stock, expressed as a fraction of 
> the 
> > price, times a multiplier. Thus, for a $50 stock whose ATR is, 
say, 
> 2 
> > (highly volatile), and if you are using a multiplier of 2 with an 
> equity 
> > of $100 K, then your positionsize statement specifies that the 
> position 
> > size of the trade will be only $8,000 (100,000 * 4/50). For a 
less 
> > volatile stock (one whose ATR is only 1), then your positionsize 
> would 
> > be only $4,000. So, you are allocating less money for less 
volatile 
> > stocks and more money for more volatile stocks, and the amount 
> allocated 
> > in each case is tiny relative to your equity. This is the 
opposite 
> of 
> > what volatility-based trading is all about. Did you leave 
something 
> out?
> > 
> > Al Venosa
> > 
> > ed nl wrote:
> > 
> > > well I just mentioned this because the range is rather narrow.  
> When 
> > > testing this MM stuff on my system I noticed that it behaved 
very 
> poor 
> > > especially between 1998 and 2001. This is exactly the period 
the 
> > > markets were very volatile. SInce volatility reduces the 
position 
> > > size  my system hardly invested any money.
> > >  
> > > I tried giving risky trades more weight using (not sure if this 
> is 
> > > correct but it does approximately what I intended):
> > >  
> > > *PositionSize* = -100 * (stopLoss / Ref(*C*,-1));
> > > this as I expected gives a better result than just using a 
> constant 
> > > percentage over the last 3 year and also better than the 
correct 
> MM 
> > > approach. Between 1998 and 2001 however it performs worse, 
> suffering 
> > > when the market goes crazy.
> > >  
> > > rgds, Ed
> > >  
> > >  
> > >
> > >     ----- Original Message -----
> > >     *From:* danielwardadams <mailto:danielwardadams@x...>
> > >     *To:* amibroker@xxxxxxxxxxxxxxx 
> <mailto:amibroker@xxxxxxxxxxxxxxx>
> > >     *Sent:* Sunday, December 12, 2004 4:06 PM
> > >     *Subject:* [amibroker] Re: PositionSize / Capital
> > >
> > >
> > >     I love it. This also helps avoid the tiny positions 
somebody 
> (Al?)
> > >     mentioned yesterday (and I've experienced also). But why do 
> you say
> > >     it will usually probably use the 10 or 20% sized positions? 
> Shouldn't
> > >     that mean you're setting your risk parameter 
unrealistically 
> low?
> > >
> > >     --- In amibroker@xxxxxxxxxxxxxxx
> > >     <mailto:amibroker@xxxxxxxxxxxxxxx>, "ed nl" <ed2000nl@x
> > >     <mailto:ed2000nl@x>...> wrote:
> > >     > This way you can use a range: Maximum 20% minimum 10% of 
> equity:
> > >     >
> > >     > rsk = -2; // 2%
> > >     > PositionSize = Min(-10,Max(-20,rsk * Ref(C,-1) / 
stopLoss));
> > >     >
> > >     > In practice it most of the time it probably either uses 
10% 
> or 20%.
> > >     >
> > >     > Ed
> > >     >
> > >     >
> > >     >
> > >     >   ----- Original Message -----
> > >     >   From: danielwardadams
> > >     >   To: amibroker@xxxxxxxxxxxxxxx
> > >     >   Sent: Sunday, December 12, 2004 3:40 PM
> > >     >   Subject: [amibroker] Re: PositionSize / Capital
> > >     >
> > >     >
> > >     >
> > >     >   Al & Ed,
> > >     >   This is exactly where I ended up yesterday (hours after 
> my post).
> > >     >   When I tried it, though, I always ended up taking the 
20%
> > >     positions
> > >     >   rather than those defined by my risk. Thinking it 
wasn't 
> working,
> > >     I
> > >     >   gave up and went to bed.
> > >     >
> > >     >   But since someone else thinks this should work, 
obviously 
> I need
> > >     to
> > >     >   play with it some more.
> > >     >
> > >     >   Dan
> > >     >
> > >     >   --- In amibroker@xxxxxxxxxxxxxxx, "ed nl" 
<ed2000nl@xxxx> 
> wrote:
> > >     >   > Al,
> > >     >   >
> > >     >   > about the part:   "Your suggestion to limit 
> positionsize not to
> > >     >   exceed any more than 20% of equity may be the solution 
> since it
> > >     goes
> > >     >   hand in hand with the philosophy of money management. 
> That is, do
> > >     not
> > >     >   allow any one position to exceed, say, 10 or 15 percent 
> of your
> > >     >   equity. The Turtles did that, and I think lots of 
traders 
> do
> > >     that,
> > >     >   too. So, I see nothing wrong with that. Have you coded 
> this in
> > >     AFL"
> > >     >   >
> > >     >   > I think you can solve this using:
> > >     >   >
> > >     >   > rsk = -2; // 2%
> > >     >   > PositionSize = Max(-20,rsk * Ref(C,-1) / stopLoss);
> > >     >   >
> > >     >   > now it will never use more than 20% of equity.
> > >     >   >
> > >     >   > About the minimum number of trades I don't know. In 
my 
> system
> > >     that
> > >     >   would be impossible because sometimes good entries just 
> dry up
> > >     and I
> > >     >   can't find even find 5.
> > >     >   >
> > >     >   > rgds, Ed
> > >     >   >
> > >     >   >   ----- Original Message -----
> > >     >   >   From: Al Venosa
> > >     >   >   To: amibroker@xxxxxxxxxxxxxxx
> > >     >   >   Sent: Sunday, December 12, 2004 3:11 PM
> > >     >   >   Subject: Re: [amibroker] Re: PositionSize / Capital
> > >     >   >
> > >     >   >
> > >     >   >   Dan:
> > >     >   >
> > >     >   >   Thanks for the ideas. You're not rambling; you're 
> thinking,
> > >     and
> > >     >   this discussion is healthy. Good ideas may stem from the
> > >     discussion,
> > >     >   so by all means, keep posting.
> > >     >   >
> > >     >   >   I don't think you need a new built-in function 
called 
> MinPos.
> > >     >   Maybe TJ came up with a solution the other day by 
> suggesting you
> > >     set
> > >     >   the max open positions to some large value like 10 of 
15, 
> even
> > >     though
> > >     >   you plan to take on no more than 5 at any time. So, if 
> you don't
> > >     use
> > >     >   up all your equity using volatility-based 
positionsizing, 
> you
> > >     might
> > >     >   add on new positions with this approach. I haven't 
tested 
> this
> > >     idea
> > >     >   yet, but I will. The problem occurs when the opposite 
> happens,
> > >     >   namely, all your equity is used up before you are able 
to 
> add
> > >     your
> > >     >   4th and 5th positions. Your suggestion to limit 
> positionsize not
> > >     to
> > >     >   exceed any more than 20% of equity may be the solution 
> since it
> > >     goes
> > >     >   hand in hand with the philosophy of money management. 
> That is, do
> > >     not
> > >     >   allow any one position to exceed, say, 10 or 15 percent 
> of your
> > >     >   equity. The Turtles did that, and I think lots of 
traders 
> do
> > >     that,
> > >     >   too. So, I see nothing wrong with that. Have you coded 
> this in
> > >     AFL?
> > >     >   I'm like Yuki: good with concepts buy lousy with 
creative
> > >     >   programming.
> > >     >   >
> > >     >   >   Al Venosa
> > >     >   >
> > >     >   >   danielwardadams wrote:
> > >     >   >
> > >     >   >
> > >     >   >     After thinking about this some more, I think all 
> I've
> > >     described
> > >     >   is
> > >     >   >     what could be accomplished with two more built-in
> > >     variables.
> > >     >   MinPos
> > >     >   >     could say you want no less than some minimum 
number 
> of
> > >     >   positions (5
> > >     >   >     in my example) and MaxPositionSize could say you 
> want to
> > >     >   allocate no
> > >     >   >     more than X% of capital to any one position (20% 
in 
> my
> > >     example).
> > >     >   >
> > >     >   >     Within these constraints, your actual position 
> sizing
> > >     methond
> > >     >   could
> > >     >   >     be anything you want.
> > >     >   >
> > >     >   >     I'm probably rambling .........
> > >     >   >
> > >     >   >     Dan
> > >     >   >
> > >     >   >     --- In 
amibroker@xxxxxxxxxxxxxxx, "danielwardadams"
> > >     >   >     <danielwardadams@xxxx> wrote:
> > >     >   >     >
> > >     >   >     > Al & Anthony,
> > >     >   >     > I've also seen the lower returns for volatility 
> based
> > >     versus
> > >     >   equal
> > >     >   >     > equity position sizing in the past and didn't 
> know what
> > >     to do
> > >     >   about
> > >     >   >     > it (assuming I wanted more positions for more
> > >     >   diversification).
> > >     >   >     >
> > >     >   >     > I'm not sure how one would code it in .AFL, but 
> would the
> > >     >   following
> > >     >   >     > represent a reasonable compromise?
> > >     >   >     >
> > >     >   >     > (1) Start with an equal equity based model 
based 
> on,
> > >     say,  5
> > >     >   >     > positions (position size = -20). So each part 
of 
> the pie
> > >     >   equals 20%
> > >     >   >     > of total equity.
> > >     >   >     > (2) Determine actual position size within each 
> piece of
> > >     the
> > >     >   pie
> > >     >   >     based
> > >     >   >     > on volatility based sizing. So, depending on 
your 
> risk
> > >     >   parameter,
> > >     >   >     one
> > >     >   >     > might use only 17% of one piece of the pie, 13% 
of
> > >     another
> > >     >   piece,
> > >     >   >     and
> > >     >   >     > 20%, 8%, and 11% of the other pieces.
> > >     >   >     > (3) Sum the used portions of the pie (in this 
case
> > >     >   17+13+20+8+11 =
> > >     >   >     > 69%) and see what you have left. 31% in case.
> > >     >   >     > (4) Allocate the remaining cash according to 
the 
> equal
> > >     equity
> > >     >   >     model.
> > >     >   >     > This means you get one more 20% piece of pie 
and 
> only
> > >     have
> > >     >   11% cash
> > >     >   >     > remaining.
> > >     >   >     > (5) Apply the above using your ATR based 
position 
> sizing
> > >     >   >     recursively
> > >     >   >     > until your cash is minimized. So if you only 
are 
> able to
> > >     use
> > >     >   9% of
> > >     >   >     > the piece of pie left in (4) you take the 11% 
> left from
> > >     that
> > >     >   piece
> > >     >   >     > plus the 11% cash and you have 22% -- enough 
for 
> another
> > >     >   position.
> > >     >   >     So
> > >     >   >     > in this case you end up with 7 positions and 
only 
> 2% left
> > >     in
> > >     >   cash.
> > >     >   >     > So your cash is minimized and all your 
positions 
> adhere
> > >     to
> > >     >   the ATR
> > >     >   >     > based position sizing.
> > >     >   >     >
> > >     >   >     > Like I say, I have no idea how to code it but 
> intuitively
> > >     it
> > >     >   makes
> > >     >   >     > sense to me.
> > >     >   >     >
> > >     >   >     > Thoughts/comments?
> > >     >   >     >
> > >     >   >     > Dan
> > >     >   >     >
> > >     >   >     > (And, yes, I'm sure I'm not the first person to 
> think of
> > >     it
> > >     >   so my
> > >     >   >     > apologies to those who have gone before).
> > >     >   >     >
> > >     >   >     > --- In amibroker@xxxxxxxxxxxxxxx, "Anthony 
> Faragasso"
> > >     >   >     <ajf1111@xxxx>
> > >     >   >     > wrote:
> > >     >   >     > > Hello Al,
> > >     >   >     > >
> > >     >   >     > > You stated:
> > >     >   >     > >
> > >     >   >     > > "the lower the volatility, the lower the risk 
> and
> > >     >   therefore, the
> > >     >   >     > smaller the positionsize for that stock. "
> > >     >   >     > >
> > >     >   >     > > Is this a correct assumption ? ...Would you 
> want a
> > >     larger
> > >     >   >     > positionsize on a less risk position , and a 
> smaller
> > >     position
> > >     >   on a
> > >     >   >     > more volatile one ?
> > >     >   >     > >
> > >     >   >     > > Anthony
> > >     >   >     > >   ----- Original Message -----
> > >     >   >     > >   From: Al Venosa
> > >     >   >     > >   To: amibroker@xxxxxxxxxxxxxxx
> > >     >   >     > >   Sent: Saturday, December 11, 2004 7:53 AM
> > >     >   >     > >   Subject: Re: [amibroker] PositionSize / 
> Capital
> > >     >   >     > >
> > >     >   >     > >
> > >     >   >     > >   Ed,
> > >     >   >     > >
> > >     >   >     > >   I, too, have confirmed many times with 
> backtesting
> > >     what
> > >     >   you
> > >     >   >     > report, viz,, that positionsize = -x gives 
better
> > >     performance
> > >     >   >     results
> > >     >   >     > than using volatility-based MM positionsizing. 
> The non-MM
> > >     >   code I've
> > >     >   >     > used in the past is:
> > >     >   >     > >
> > >     >   >     > >   posqty = Optimize("posqty",5,2,10,1); // 
no. 
> of
> > >     stocks
> > >     >   active
> > >     >   >     at
> > >     >   >     > any given time
> > >     >   >     > >   PositionSize = -100/posqty; //equal equity 
> model
> > >     >   >     > >
> > >     >   >     > >   I think I know what the problem is, but I 
> have not as
> > >     yet
> > >     >   >     figured
> > >     >   >     > out how to solve the problem with AFL. If you 
use 
> the MM-
> > >     >   based
> > >     >   >     > positionsize statement as we have discussed 
(equal
> > >     volatility
> > >     >   >     model),
> > >     >   >     > i.e., PositionSize = -1 * C/StopAmt, and 
examine 
> the
> > >     >   tradelist, you
> > >     >   >     > will likely discover that, often, not all 5 
> stocks are
> > >     active
> > >     >   all
> > >     >   >     the
> > >     >   >     > time. In other words, either you have idle 
capital
> > >     earning
> > >     >   nothing
> > >     >   >     or
> > >     >   >     > you have fewer active stocks than you want. Why 
> is this?
> > >     >   Because
> > >     >   >     some
> > >     >   >     > stocks, which might not be as volatilie as 
> others, use up
> > >     >   more of
> > >     >   >     > your capital to initiate a position than a more 
> volatile
> > >     >   stock.
> > >     >   >     > Consequently, your capital is used up before 
you 
> have a
> > >     >   chance to
> > >     >   >     > enter into your 4th or 5th stock. Instead of 
> having 5
> > >     open
> > >     >   >     positions,
> > >     >   >     > you might only have 3 because of this. Checking
> > >     positionsize
> > >     >   >     > shrinking doesn't help because you'll discover 
> you might
> > >     have
> > >     >   tiny
> > >     >   >     > positions in your 5th stock. The fewer stocks 
you 
> have,
> > >     the
> > >     >   less
> > >     >   >     > diversified you are, and therefore the more 
risky 
> your
> > >     >   portfolio.
> > >     >   >     The
> > >     >   >     > more risk, the higher the DDs. This problem 
> cannot happen
> > >     >   with the
> > >     >   >     > equal equity model since all positions are 
equal 
> in size,
> > >     by
> > >     >   >     > definition.
> > >     >   >     > >
> > >     >   >     > >   One possible way around this might be to 
> increase
> > >     your
> > >     >   margin
> > >     >   >     so
> > >     >   >     > that equity is expanded enough to allow full 
> funding of
> > >     all
> > >     >   >     > positions. But, again, this also increases your 
> risk.
> > >     Another
> > >     >   way
> > >     >   >     > might be dynamically setting your risk to fit 
the
> > >     volatility
> > >     >   of
> > >     >   >     each
> > >     >   >     > stock individually (the lower the volatility, 
the 
> lower
> > >     the
> > >     >   risk
> > >     >   >     and
> > >     >   >     > therefore, the smaller the positionsize for 
that 
> stock).
> > >     >   However,
> > >     >   >     > this changes your model so that you no longer 
> have equal
> > >     >   >     > volatility/equal risk (getting closer to the 
> equal equity
> > >     >   model).
> > >     >   >     So,
> > >     >   >     > the problem remains unsolved for the moment. I 
> have not
> > >     had
> > >     >   time to
> > >     >   >     > devote to cracking this problem yet, but some 
day 
> I hope
> > >     to
> > >     >   do
> > >     >   >     this.
> > >     >   >     > If you have any ideas, I'm all ears.
> > >     >   >     > >
> > >     >   >     > >   Al Venosa
> > >     >   >     > >
> > >     >   >     > >
> > >     >   >     > >   ed nl wrote:
> > >     >   >     > >     Thanks for your effort Al. It is very 
clear,
> > >     >   >     > >
> > >     >   >     > >     In one of my earlier posts I posted
> > >     >   >     > >
> > >     >   >     > >     // money management block
> > >     >   >     > >     stopLoss = Ref(bbb*ATR(20),-1);
> > >     >   >     > >     // trade risk
> > >     >   >     > >     tr = IIf(Buy,(stopLoss / 
> BuyPrice),stopLoss /
> > >     >   (ShortPrice +
> > >     >   >     > stopLoss));
> > >     >   >     > >     // renormalisation coefficient
> > >     >   >     > >     rc = 0.02 / tr;
> > >     >   >     > >     // positionsize
> > >     >   >     > >     PositionSize = rc * -100
> > >     >   >     > >
> > >     >   >     > >
> > >     >   >     > >     it actually gives the same result as your:
> > >     >   >     > >     PositionSize = -2.0 * IIf
> > >     (Buy,BuyPrice,ShortPrice) /
> > >     >   stopLoss
> > >     >   >     > >     except for short positions. Exact the 
same 
> it would
> > >     be
> > >     >   if I
> > >     >   >     > use: tr = IIf(Buy,(stopLoss / 
BuyPrice),stopLoss /
> > >     >   (ShortPrice));
> > >     >   >     > >
> > >     >   >     > >     Unfortunatelly I do not get better 
results 
> this
> > >     way.
> > >     >   Using
> > >     >   >     just
> > >     >   >     > a simple PositionSize = -10 still gives 
somewhat 
> better
> > >     >   results.
> > >     >   >     > >
> > >     >   >     > >
> > >     >   >     > >
> > >     >   >     > >     rgds, Ed
> > >     >   >     > >
> > >     >   >     > >
> > >     >   >     > >       ----- Original Message -----
> > >     >   >     > >       From: Al Venosa
> > >     >   >     > >       To: amibroker@xxxxxxxxxxxxxxx
> > >     >   >     > >       Sent: Saturday, December 11, 2004 4:19 
AM
> > >     >   >     > >       Subject: Re: [amibroker] PositionSize / 
> Capital
> > >     >   >     > >
> > >     >   >     > >
> > >     >   >     > >       ed nl wrote:
> > >     >   >     > >
> > >     >   >     > >         Al,
> > >     >   >     > >
> > >     >   >     > >         but how do you implement the risk 
> factor now?
> > >     >   >     > >
> > >     >   >     > >         ed
> > >     >   >     > >       Ed:
> > >     >   >     > >
> > >     >   >     > >       Let us suppose you have established 
your 
> risk as
> > >     1%
> > >     >   (i.e.,
> > >     >   >     > the maximum you are willing to lose on a 
trade). 
> Let us
> > >     also
> > >     >   >     suppose
> > >     >   >     > your initial equity is $100,000. So, if the 
stock 
> you buy
> > >     (or
> > >     >   >     short)
> > >     >   >     > goes down by the amount based on your system, 
you 
> lose
> > >     only
> > >     >   $1000,
> > >     >   >     > keeping you in the game. Now, let us say you 
> defined your
> > >     >   >     volatillty-
> > >     >   >     > based stop in terms of 2*ATR(20), which you 
> incorrectly
> > >     >   assigned to
> > >     >   >     > the variable TrailStopAmount. I 
say 'incorrectly' 
> because
> > >     the
> > >     >   >     > TrailStop in AB was designed to mimic the 
> Chandelier
> > >     exit,
> > >     >   which is
> > >     >   >     > basically a profit target type of stock (it 
hangs 
> down
> > >     like a
> > >     >   >     > chandelier from the highest high since the 
trade 
> was
> > >     >   initiated, if
> > >     >   >     > long). I don't think you want the TrailStop to 
be 
> your
> > >     money
> > >     >   >     > management stop. Rather, the MM stop is the max 
> stoploss,
> > >     >   defined
> > >     >   >     as:
> > >     >   >     > >
> > >     >   >     > >       StopAmt = 2*ATR(20);
> > >     >   >     > >       ApplyStop(0,2,StopAmt,1);
> > >     >   >     > >
> > >     >   >     > >       So, if your stock declines by 2*ATR(20) 
> from your
> > >     >   entry,
> > >     >   >     you
> > >     >   >     > exit with a 1% loss. Let's take an example. 
Stock 
> A is
> > >     >   selling for
> > >     >   >     > $40/share. It's ATR(20) is $1/shr or 2.5% of 
40. 
> Your
> > >     stop
> > >     >   amount
> > >     >   >     is
> > >     >   >     > 2*ATR(20), which is $2/shr. How much stock do 
you 
> buy?
> > >     You
> > >     >   simply
> > >     >   >     > divide your risk, $1000, by 2*1, which is 500 
> shares.
> > >     This
> > >     >   amounts
> > >     >   >     to
> > >     >   >     > an investment of $40/shr * 500 shrs or $20,000. 
> All of
> > >     this
> > >     >   can be
> > >     >   >     > coded in one simple line of AFL plus the 2 
lines 
> above
> > >     >   defining the
> > >     >   >     > MM stoploss:
> > >     >   >     > >
> > >     >   >     > >       PositionSize = -1 * BuyPrice/StopAmt;
> > >     >   >     > >
> > >     >   >     > >       where -1 is 1% of current equity (0.01 
* 
> 100,000
> > >     or
> > >     >   $1000),
> > >     >   >     > BuyPrice = $40/shr, and StopAmt is 2. Keep in 
> mind that a
> > >     >   negative
> > >     >   >     > sign means 1% of CURRENT equity, which means 
> compounded
> > >     >   equity, not
> > >     >   >     > just a constant initial equity of $100,000. If 
> you carry
> > >     >   through
> > >     >   >     the
> > >     >   >     > above math with your renormalization coefficient
> > >     notation,
> > >     >   you wind
> > >     >   >     > up with the exact same answer.
> > >     >   >     > >
> > >     >   >     > >       One more thing. When you place your 
order,
> > >     assuming
> > >     >   you are
> > >     >   >     > trading with EOD data, you do not know what the 
> buyprice
> > >     is
> > >     >   until
> > >     >   >     you
> > >     >   >     > buy the stock, which is the next day. So, what 
> most
> > >     traders
> > >     >   do is
> > >     >   >     > base their positionsize on the closing price of 
> the night
> > >     >   before
> > >     >   >     the
> > >     >   >     > entry. Therefore, to place an order in the 
> evening to be
> > >     >   filled in
> > >     >   >     > the morning at the open, your positionsize 
> statement
> > >     would
> > >     >   actually
> > >     >   >     > be:
> > >     >   >     > >
> > >     >   >     > >       PositionSize = -1 * C/StopAmt;
> > >     >   >     > >
> > >     >   >     > >       where C is the closing price on the 
night 
> before
> > >     you
> > >     >   buy.
> > >     >   >     So,
> > >     >   >     > if you use the code SetTradeDelays(1,1,1,1), 
then 
> the
> > >     above
> > >     >   formula
> > >     >   >     > is OK. However, if you use SetTradeDelays
> (0,0,0,0), then
> > >     you
> > >     >   have
> > >     >   >     to
> > >     >   >     > ref the C back a day.
> > >     >   >     > >
> > >     >   >     > >       This is probably more information than 
> you were
> > >     >   asking
> > >     >   >     about,
> > >     >   >     > but I hope it helps.
> > >     >   >     > >
> > >     >   >     > >       Cheers,
> > >     >   >     > >
> > >     >   >     > >       Al Venosa
> > >     >   >     > >
> > >     >   >     > >
> > >     >   >     > >
> > >     >   >     > >
> > >     >   >     > >   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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