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to put some numbers against things
PositionSize = Min( Max( equity()*0.07,
(Risk/TrailStopAmount)*BuyPrice ), equity()*01 );
equity = 100
E*0.07 = 7
E*0.1 = 10
say your risk pos sizing is 9
Min( Max( 7, 9 ), 10 ); = min( 9, 10 ) = 9
now say 6
Min( Max( 7, 6 ), 10 ); = min( 7, 10 ) = 7
now say 12
Min( Max( 7, 12 ), 10 ); = min( 12, 10 ) = 10
does this make it clearer?
On 8/8/05, rangaroopa2000 <rangaroopa2000@xxxxxxxxxxxx> wrote:
> 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
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
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>
>
>
>
>
>
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
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