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Hi Eric,
Say you are happy to risk 2% of your capital. As the gap between the
Buyprice and your Initialstop increases, the trade size reduces as
your fixed risk of 2% limits the trade size.
If the Buyprice is far enough away from the Initialstop (high risk?),
reducing the trade size to < 7% of capital then I don't take it.
Rangar.
--- In amibroker@xxxxxxxxxxxxxxx, eric paradis
<thechemistrybetweenus@xxxx> wrote:
> Ranger,
>
> I misunderstood the algorithm then, I thought it was
> taking high risk trades only. I'll spend some more
> time on it this week and see how it works more closely
>
> Eric
>
> --- rangaroopa2000 <rangaroopa2000@xxxx>
> wrote:
>
> > Eric,
> >
> > Just to make it clearer.
> >
> > Using that PS algorithm, as the risk increases the
> > position size
> > reduces. If the trade size reduces below my minimum
> > I don't take it.
> >
> > I found this improved my backtesting results.
> >
> > I don't know why for sure but as I mentioned in my
> > previous post, it
> > maybe because I'm making more use of my capital. It
> > may also be to do
> > with not taking trades with a higher risk.
> >
> > Regards, Ranger.
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "rangaroopa2000"
> > <rangaroopa2000@xxxx> wrote:
> > > Hi Eric,
> > >
> > > > Out of curiousity, I'm wondering why you are
> > choosing
> > > > to exclude trades with less than 7% risk?
> > >
> > > Yes, that is one way to put it but doing this I am
> > making sure that
> > I
> > > take full advantage of my capital on trades,
> > rather then taking
> > small
> > > trade sizes.
> > >
> > > You might want to try optimising those % values.
> > >
> > > Regards, Rangar
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, eric paradis
> > > <thechemistrybetweenus@xxxx> wrote:
> > > > Rangar,
> > > >
> > > > I am using this code you and graham have worked
> > on for
> > > > my own position sizing algorithm. I'm in the
> > process
> > > > of testing it, to see if I can increase the
> > > > profitability of my stock trading system beyond
> > what
> > > > my current algorithm has.
> > > >
> > > > Out of curiousity, I'm wondering why you are
> > choosing
> > > > to exclude trades with less than 7% risk? Is
> > there
> > > > some sort of edge you have developed in
> > eliminating
> > > > the lower risk trades? Myself, I've had to use a
> > stop
> > > > and Risk parameter of 16* ATR(10) to have a very
> > > > profitable system. Good trading and development
> > > >
> > > > Eric
> > > >
> > > >
> > > >
> > __________________________________________________
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> >
> >
> >
> >
>
>
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