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Ooops!
I think I may have missed something in that thread that I posted
before.
Might be able to do what I'm after with a few IIF's (no "mid-level
approach"!):
PositionSize = -2 * BuyPrice/(2*ATR(10));
Hey Graham, what do you think! ;-)
http://finance.groups.yahoo.com/group/amibroker/message/85606
Rangar.
--- In amibroker@xxxxxxxxxxxxxxx, "rangaroopa2000"
<rangaroopa2000@xxxx> wrote:
> Hi,
>
> Hmmm looks like I'm going over old ground after reading this thread:
>
> http://finance.groups.yahoo.com/group/amibroker/message/78342
>
> http://www.amibroker.com/guide/a_custombacktest.html
> I take it from looking at the above document, the "mid-level
approach"
> may be able to do it ie: allows to modify signals, query open
> positions (good for advanced position sizing).
>
> MY QUESTION -> has anyone come up with this "mid-level approach"
where
> a percentage of capital is used for positionsizing pleeeeease? Can
you
> share it?
>
> Thanks, Rangar.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "rangaroopa2000"
> <rangaroopa2000@xxxx> wrote:
> > Hi,
> >
> > Graham helped me with this the other day and I have been testing
it
> > and I expected that the position size would increase as the
equity()
> > increases but it isn't!
> >
> > Here is my latest position sizing:
> > --------------------------------------
> > Risk = 0.02; //2% of capital
> > MinPer = 0.07; //7% of capital
> > MaxPer = 0.10; //10% of capital
> >
> > Capital = Ref(Equity(),-1)
> > MinTrade = Capital * MinPer;
> > MaxTrade = Capital * MaxPer;
> > RiskPS = (Capital * Risk) / (BuyPrice - InitialStop);
> >
> > PositionSize = Min(MaxTrade, RiskPS);
> >
> > Buy = Signal AND PositionSize > MinTrade;
> > --------------------------------------
> >
> > It uses % risk, a minimum trade size and a maximum trade size.
> Problem
> > is the position size does not increase as equity increases. The
> > maximum trade size is 10% of the "initial" equity as shown in the
> > Report.
> >
> > Is this the way to increase (or decrease) position size based on
> your
> > capital please?
> >
> > Thanks, Rangar
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