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correction
numshares = 0.05 * capital/(entry -
stop)
Paul
a bit of algebra
max 5% means you can have only 10 open
positions
use setoption ("maxopenpositions",
10);
risk per trade = (entry - stop) * numshares = 0.05 *
capital
ie numshares = (entry - stop)/(0.05 *
capital);
setpositionsize (numshares,
spsshares);
that should do the trick
Paul
Hi,
Wonder if this is possible and if there is an example
of the AFL code.
Is it possible to set the number of open positions in
backtest
according to a total percentage risk amount as follows.
I
have starting trading capital of $100,000. I only ever want to have
a total
dollars at risk of say 5% of that capital - however as my
equity increases I
also want to have a total at risk 5% of that
increasing equity on each new
trade.
I only want to risk say 0.5% of capital per trade where the number
of
shares to buy is Risk Amount / (entry price - stop price) - BUT the
number of trades is set such that the total at risk is 5% of total
equity.
As each share increases in price the trailing stop rises, the
at risk
amount decreases for that trade and more positions can be entered.
Also more positions can be entered if the trailing stop is hit on a
particular trade and that trade is closed
out.
Thanks,
Geoff
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