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yes graham, it was something I was thinking driving my car this
morning ^_^ or use a built-in equity (dll) that i have written in
the past.
stephane
> Would it be better to use Equity value from previous bar.
>
> I have a feeling TJ made a post about it here in past few weeks
>
>
> On Fri, 18 Feb 2005 08:01:15 -0000, Stephane Carrasset
> <nenapacwanfr@xxxx> wrote:
> >
> >
> > 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
> > > >
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> > >
> > >
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> > >
> > > 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:
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> >
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> >
> >
> >
> >
> >
>
>
> --
> Cheers
> Graham
> http://e-wire.net.au/~eb_kavan/
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