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Thanks for your help Graham!
Putting it all together:
//-------------------------------------------
//Position Sizing
MinTrade = equity() * 0.07;
MaxTrade = equity() * 0.10;
riskPS = (Risk / TrailStopAmount) * BuyPrice;
Positionsize = Min(MaxTrade, riskPS);
Buy = BuyConditions and Positionsize > 0.07 * ref(Equity(),-1);
//-------------------------------------------
I think I wouldn't need the other bit of the Buy as you wrote because
it is taken care of in the Positionsize. What do you think?
One other thing, I guess I need also to put ref(,-1) on the MinTrade
and MaxTrade to get the correct equity value?
Thanks again.
Regards, Rangar
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
> sorry just read the post again
> to not take a trade you need to put the conditioninto your buy
statement
>
> assuming you already calculated the positionsize
> Buy = buyconditions and positionsize>0.07*ref(Equity(),-1) and
> positionsize<0.1*ref(Equity(),-1);
> I use ref(equity(),-1) because on the bar the buy occurs the equity
> will be smaller by the amount of the buy
>
> On 8/8/05, Graham <kavemanperth@xxxx> wrote:
> > 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@xxxx> 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
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