RE: FW: [amibroker] Risk compounding with gains - I cannot get round it, AmiBroker Email List Archive

Hi Stephane,

Many thanks for your help.

However I suspect that the example below is picking up the previous equity line, or something like that. (can’t pinpoint exactly what’s happening!)

I first run it with positionsize=-10; works fine – several 100 trades taken. No problems

I then run it with positionsize = PositionSize=Foreign("~~~EQUITY", "C" )*0.1;: works fine, and seems to be giving ok results

BUT

I hit backtest again, and no trades are taken, implying that positionsize = 0.

Do you get the same thing I am getting?

Cheers,

Claude

From: Stephane Carrasset [mailto:nenapacwanfr@xxxxxxxxx]
Sent: Thursday, February 17, 2005 21:01
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: FW: [amibroker] Risk compounding with gains - I cannot get round it

Hi claude,

use
PositionSize=Foreign("~~~EQUITY", "C" )*0.1; // idem as PositionSize=-
10;

for ex run this basic system and look the results.
I complain that Amibroker turns less and less obvious.

stephane

SetCustomBacktestProc("");
function FindEquityAtDateTime( eq, dt, Value )
{
      result=0;
   for( i = 0; i < BarCount ; i++ )
   {
   if( dt[ i ] == Value )
      result=eq[i];
      }
   return result ;
}

if( Status("action") == actionPortfolio )
{
      bo = GetBacktesterObject();
      bo.Backtest(1); // run default backtest procedure
      eq = Foreign("~~~EQUITY", "C" );
      dt = DateTime();

   for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade
() )
   {
            EquityAtEntry = FindEquityAtDateTime( eq, dt,
trade.EntryDateTime );
            trade.AddCustomMetric("Equity at entry",
EquityAtEntry);
   }

   for( openpos = bo.GetFirstOpenPos(); openpos; openpos =
bo.GetNextOpenPos() )
   {
            EquityAtEntry = FindEquityAtDateTime( eq, dt,
Openpos.EntryDateTime );
            Openpos.AddCustomMetric("Equity at entry",
EquityAtEntry);
   }
    bo.ListTrades();
}

Buy=Cross( MACD(), Signal() );
Sell=Cross( Signal(), MACD() );
SetOption("InitialEquity", 10000);

//PositionSize=-10;
PositionSize=Foreign("~~~EQUITY", "C" )*0.1; // idem as PositionSize=-
10;
//BAD Usage is 01*Equity(0,-1) -1 is default settings of backtesting
//it returns the decimal part of equity

>
>
>   _____
>
> From: Claude Caruana [mailto:claude.caruana@xxxx]
> Sent: Thursday, February 17, 2005 09:56
> To: 'amibroker@xxxxxxxxxxxxxxx'
> Subject: RE: [amibroker] Risk compounding with gains - I cannot get
round it
>
>
>
> Hi all,
>
>
>
> I'm finding real problems with implementing this so I would really
> appreciate if there is somebody out there with the answer!
>
> The key is that I want my risk to be relative to current total
equity, not
> position size.
>
>
>
> I understand if I use
>
> Positionsize = -20 , then my position size is 20% of my current
equity.
> Tried and tested - this works ok.
>
> BUT,
>
> If only I can assign a percentage of the current equity to a
variable other
> than positionsize, it would solve all my problems - something like
>
> CurrentEquity = XXXXX
>
>
>
> Can anybody help? I would be really grateful!
>
> Thanks,
>
> Claude
>
>
>
>
>
>
>
>   _____
>
> From: Claude Caruana [mailto:claudecaruana@xxxx]
> Sent: Tuesday, February 15, 2005 23:23
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Risk compounding with gains - problem
>
>
>
> Hi again.
>
>
>
> I found the problem to be that the equity() function will only work
if
> placed after the buy/sell signals.
>
> Problem is that I need it before the buy signal in order to
calculate the
> position size.
>
> Anybody can indicate a way to determine the equity value before the
buy
> signal??
>
> Thanks in advance for any input.
>
>
>
> Claude
>
>
>
>
>
>   _____
>
> From: Claude Caruana [mailto:claudecaruana@xxxx]
> Sent: Tuesday, February 15, 2005 13:12
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Risk compounding with gains - problem
>
>
>
> Hi All,
>
>
>
> Can anybody help me with this? I am trying to achieve a position
sizing
> technique where half the current total profit (assuming there is a
profit)
> is re-invested into risk. Problem is that it seems like equity(0)
is always
> returning 250000 and the CurrentPL variable seems to always be 0.
>
>
>
> StartCapital = 250000;
>
> CapitalNow    = equity(0);
>
> CurrentPL     = ((CapitalNow-StartCapital)/StartCapital);
>
>
>
> RiskPerTrade = 0.001+(CurrentPL/2);
>
> PositionSize = ((CapitalNow*RiskPerTrade) / stopPoints) * BuyPrice;
>
>
>
>
> What I am expecting this to do is: let us say at one point the
equity goes
> up 2% from 250,000 to 255,000 - then:
>
>
>
> Current PL         = 255000-250000/250000 = 0.02
>
> RiskPerTrade     = 0.001+(0.02/2) = 0.011
>
> Risk per trade now should go up from 0.001 to 0.011, but this isn't
> happening.
>
>
>
> I am aware I need to arrange this to handle losses, but I first
would like
> to sort out this issue.
>
>
>
> Should I in fact be using equity(0) to achieve this or should I be
using
> some other function?
>
>
>
> Thanks in advance for any help :-)
>
>
>
> Claude
>
>
>
>
>
>
>
> 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:
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>
>
>
>
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