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Hello,
If you want to use Risk = 1% of portfolio-level
equity at the trade-entry time then appropriate code would look like
this:
SetCustomBacktestProc("");
MaxLossPointStop = 2*ATR(10);
// dynamic volatility stoploss, 1st
modification
function FindEquityAtDateTime( eq, dt, Value )
{
found = -1;
for( i = 0; i < BarCount AND found == -1; i++ )
{
if( dt[ i ] == Value ) found = i;
}
return IIf( found != -1, eq[ found - 1 ], Null );
}
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(1); // run default backtest procedure
SumProfitPerRisk = 0;
NumTrades =
0;
dt =
DateTime();
eq =
Foreign("~~~EQUITY", "C" );
for( trade = bo.GetFirstTrade(); trade;
trade = bo.GetNextTrade() )
{
EquityAtEntry = FindEquityAtDateTime(
eq, dt, trade.EntryDateTime );
Risk
= 0.01 * EquityAtEntry ;
//risk is defined as a constant 1% of current
equity.
RiskAsPecentOfCurrentEquity
= 100 * Risk / EquityAtEntry;
RMultiple = trade.GetProfit()/Risk;
trade.AddCustomMetric("Initial risk $",
Risk );
trade.AddCustomMetric("Equity at entry", EquityAtEntry );
trade.AddCustomMetric("Risk as % of Eq.", RiskAsPecentOfCurrentEquity );
trade.AddCustomMetric("R-Multiple", RMultiple );
SumProfitPerRisk = SumProfitPerRisk +
RMultiple;
NumTrades++;
}
Expectancy3 = SumProfitPerRisk / NumTrades;
bo.AddCustomMetric( "Expectancy (per risk)", Expectancy3 );
bo.ListTrades();
}
// your trading system here
ApplyStop( stopTypeLoss, stopModePoint, MaxLossPointStop );
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Tuesday, January 25, 2005 2:42
PM
Subject: Re: [amibroker] Expectancy
Thanks for the clarification,
TJ. Yes, you are right. I did miss the ApplyStop function. I'm more
interested, however, in dynamic, volatility-based max stoplosses and
calculating risk as a function of equity, not as a function of the dollar
amount invested per trade. I took a crack at re-writing your Expectancy3
example using a 2*ATR(10) stoploss rather than a percentage stoploss, using a
constant defined risk as 1% of current equity. Now, don't shoot me, but is the
code below correct? I only changed 2 lines (bold font) plus the ApplyStop at
the end.
SetCustomBacktestProc("");
MaxLossPointStop
= 2*ATR(10);
// dynamic volatility
stoploss
function FindEquityAtDateTime( eq,
dt, Value )
{
found = -1;
for( i = 0; i < BarCount AND found == -1; i++ )
{
if( dt[ i ] == Value ) found = i;
}
return IIf( found != -1, eq[ found -
1 ], Null );
}
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(1);
// run default backtest procedure
SumProfitPerRisk = 0;
NumTrades =
0;
<>
dt = DateTime();
eq = Foreign("~~~EQUITY", "C" );
for( trade = bo.GetFirstTrade(); trade;
trade = bo.GetNextTrade() )
{
Risk = 0.01 * eq; //risk is defined as a
constant 1% of current equity
EquityAtEntry =
FindEquityAtDateTime( eq, dt, trade.EntryDateTime
);
<> RiskAsPecentOfCurrentEquity =
100 * Risk / EquityAtEntry;
RMultiple =
trade.GetProfit()/Risk;
trade.AddCustomMetric("Initial risk
$",
Risk );
trade.AddCustomMetric("Equity at
entry", EquityAtEntry );
trade.AddCustomMetric("Risk as % of
Eq.", RiskAsPecentOfCurrentEquity );
trade.AddCustomMetric("R-Multiple", RMultiple );
SumProfitPerRisk = SumProfitPerRisk +
RMultiple;
NumTrades++;
}
Expectancy3 = SumProfitPerRisk /
NumTrades;
bo.AddCustomMetric( "Expectancy (per risk)", Expectancy3 );
bo.ListTrades();
}
// your trading system
here
ApplyStop( stopTypeLoss, stopModePoint, MaxLossPointStop );
Check AmiBroker web page
at:
http://www.amibroker.com/
Check
group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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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