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> Message: 9
> Date: Sat, 04 Jun 2005 20:52:56 -0000
> From: "thechemistrybetweenus" <thechemistrybetweenus@xxxxxxxxx>
> Subject: Fixed Ratio Trading in Amibroker
> Hi,
> I just finished reading Ryan Jones excellent book on Fixed Ratio Money
> Management. Anyone familiar with the topic and how It could be done in
> Amibroker?
> Eric
Hello Eric,
I have been struggling with implementing this also (I read about it in a
different book though). It turns out I needed to use the custom
portfolio back tester interface, so I can dynamically size the position
based on current equity.
This is what I have come up with. Let me know if you spot any errors
:-)
Seems to work but I could be doing something wrong so test it for
yourself before you use it...
BTW: This is written for futures contracts.
SetOption("UseCustomBacktestProc", True);
Delta = 10000;
ContractMin = 1;
ContractMax = 150;
if (Status("action") == actionPortfolio)
{
bo = GetBacktesterObject();
bo.PreProcess();
for (bar = 0; bar < BarCount; bar++)
{
for (sig = bo.GetFirstSignal(bar); sig; sig =
bo.GetNextSignal(bar))
{
if (sig.isEntry() && sig.IsLong())
{
capital[bar] = bo.Equity - bo.InitialEquity;
capital[bar] = Max(0.01, capital[bar]);
contracts[bar] = 1 + floor(sqrt(0.5 + ((2 * capital[bar]
/ delta[bar]) + 0.25)));
contracts[bar] = Max(Min(contracts[bar],
ContractMax[bar]), ContractMin[bar]);
sig.PosSize = sig.MarginDeposit * contracts[bar];
}
}
bo.ProcessTradeSignals(bar);
}
bo.PostProcess();
}
Buy = Cross(EMA(C, 10), EMA(C, 30)); // An example system :-)
Sell = Cross(EMA(C, 30), EMA(C, 10));
Buy = ExRem(Buy, Sell);
Sell = ExRem(Sell, Buy);
RoundLotSize = TickSize = 1;
PointValue = 25; // $25 AUD per point
MarginDeposit = 2200; // Australian SPI contract margin deposit
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