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Thanks for your help Graham,
Just been trying to get my head around the min and max and what they
are doing. I didn't know you could use Equity() in there either, thanks.
I've re-written the rules below so they are a bit clearer. The reason
is because I don't think the code would exclude the trade if the risk
based PS is below 7% of capital.
a) if the risk based PS is > 10% then use a trade size of 10%.
b) if the risk based PS is < 10% and > 7% then use risk based PS
c) if the risk based PS is < 7% then do not take the trade.
So if:
MinTrade = equity() * 0.07;
MaxTrade = equity() * 0.10;
riskPS = (Risk / TrailStopAmount) * BuyPrice;
then:
a = min( MaxTrade, riskPS)
b = iif( riskPS < MaxTrade AND riskPS > MinTrade, riskPS)
c = ???
Regards, Rangar
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
> try this, it may even work
> PositionSize = Min( Max( equity()*0.07,
> (Risk/TrailStopAmount)*BuyPrice ), equity()*01 );
>
> Using the above, I would also like to have a maximum trade size of 10%
> of capital AND a minimum trade size of 7% of capital.
>
> On 8/8/05, rangaroopa2000 <rangaroopa2000@xxxx> wrote:
> > Hi,
> >
> > Could someone help me out with position sizing please?
> >
> > I'm using ATR-based position sizing:
> >
> > Risk = 0.01*Capital;
> > PositionSize = (Risk/TrailStopAmount)*BuyPrice;
> >
> > Using the above, I would also like to have a maximum trade size of 10%
> > of capital AND a minimum trade size of 7% of capital.
> >
> > For example:
> >
> > a) if the risk based PS is > 10% then use a trade size of 10%.
> > b) if the risk based PS is < 7% then exclude the trade.
> >
> > Thanks, Rangar
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