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I remember in the help file of amibroker, there is an example of
volatility ( atr ) based position size like van tharp model.
copy paste of Help file:
"
You can also use more sophisticated position sizing methods. For
example volatility-based position sizing (Van Tharp-style):
PositionSize = -2 * BuyPrice/(2*ATR(10));
That way you are investing investing 2% of PORTFOLIO equity in the
trade adjusted by BuyPrice/2*ATR factor.
"
> Too bad! Unfortunately PositionSize= -xxx is useless to me, as I
use a
> volatility based fixed risk model, where the risk per trade is a
direct
> proportion of the total equity, not the Position size itself.
>
>
>
> Thanks a lot for you help, in any case :-)
>
>
>
> Regards,
> Claude
>
>
>
>
>
> _____
>
> From: Stephane Carrasset [mailto:nenapacwanfr@x...]
> Sent: Friday, February 18, 2005 15:01
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: FW: [amibroker] Risk compounding with gains - I cannot
get
> round it
>
>
>
>
> yes,
> you're right, it was a bad idea to use
> PositionSize=Foreign("~~~EQUITY", "C" )*0.2;
> it is a bad idea to use
> PositionSize=Equity()*0.2;
>
> so no others solution that
> PositionSize=-20;
>
>
> > 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@x...]
> > 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@x...]
> > > 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@x...]
> > > 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@x...]
> > > 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:
> > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > >
> > >
> > >
> > >
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> > >
> > >
> > > _____
> > >
> > > Yahoo! Groups Links
> > >
> > > * To visit your group on the web, go to:
> > > http://groups.yahoo.com/group/amibroker/
> > >
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> >
> >
> >
> >
> >
> > 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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> >
> > _____
> >
> > Yahoo! Groups Links
> >
> > * To visit your group on the web, go to:
> > http://groups.yahoo.com/group/amibroker/
> >
> > * To unsubscribe from this group, send an email to:
> > amibroker-unsubscribe@xxxxxxxxxxxxxxx
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subject=Unsubscribe>
> >
> > * Your use of Yahoo! Groups is subject to the Yahoo! Terms
of
> Service
> > <http://docs.yahoo.com/info/terms/> .
>
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
> _____
>
> Yahoo! Groups Links
>
> * To visit your group on the web, go to:
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>
> * To unsubscribe from this group, send an email to:
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