|
I agree with you that the position size should be
rounded down. However, I am trying to duplicate the results of a trading system
which uses "rounding to the nearest 50" instead. It uses dynamic position
sizing: the position size is a percentage of the equity.
The equation I thought of is:
PositionSize($)= GivenPercent * equity() + 25 *
BuyPrice; (This will force it rounded to the nearest 50).
PositionSize(%)= GivenPercent +
(25*BuyPrice)/equity().
But equity() is not dynamic when used in
PositionSize calculation and I can't use it.
----- Original Message -----
Sent: Monday, September 05, 2005 9:06
PM
Subject: Re: [amibroker] round lot
size
I would say that roundlot sizes down to ensure you do not
trade
greater than your trade size limit, as this is the way most
position
size management techniques would work.
to do it to round up
or down you would need to first determine te
posistion size, calculate the
number of shares and round this, then
move back to positionsize based on
the num shares. Sounds more complex
than it is. Here is a quick type in
answer
PositionSize = 10000; //however you normally calculate
it
PositionSize = round(
PositionSize/BuyPrice/RoundLotSize)*BuyPrice*roundlotsize;
On
9/6/05, Mark H <amibroker@xxxxxxxxxxxxx> wrote:
> You may have
misunderstood my question. I know the RoudLotSize setting. My
> question
was is there a way to "rounding to the nearest" instead of
> "rounding
down".
> Since I use dynamic position sizing, and have to use percentage
for
> PositionSize, I can't just add "24.99* buyprice" to the
PositionSize for
> roundlotsize=50.
> ----- Original Message -----
> From: eric paradis
> To: amibroker@xxxxxxxxxxxxxxx
>
Sent: Monday, September 05, 2005 7:22 PM
> Subject: Re: [amibroker]
round lot size
>
> use the RoundlotSize setting in your settings.
When
> set to 1, 10, 100, etc Amibroker will round all your
>
positions so that your backtested trades will all be
> rounded to your
selected size.
>
> example trades
>
> XY
550
> AMAT 120
> GOOG 10
>
> etc
>
> ---
Mark H <amibroker@xxxxxxxxxxxxx> wrote:
>
> > I
understand round lot size is used to "rounding
> > down", from
example, RoundLotSize=50, and position
> > size 3042 is rounded to
3000.
> > Is there a way to "round to the neast even number"?
>
> like to 3050 in the above example, which makes more
> >
sense.
> >
> > Thanks for any answers.
> >
> > - Mark
>
>
>
>
>
> ______________________________________________________
> Click
here to donate to the Hurricane Katrina relief effort.
> http://store.yahoo.com/redcross-donate3/
>
>
> 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
>
>
>
>
> ________________________________
>
YAHOO! GROUPS LINKS
>
> Visit your group "amibroker" on
the web.
>
> To unsubscribe from this group,
send an email to:
>
amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
> Your
use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
>
To unsubscribe from this group, send an email to:
>
amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
> Your
use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
>
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
>
________________________________
>
--
Cheers
Graham
AB-Write >< Professional AFL Writing
Service
Yes, I write AFL code to your requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm
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
YAHOO! GROUPS LINKS
|