|
PureBytes Links
Trading Reference Links
|
Hi,
Thanks for replying - but I don't seem to have explained this
properly I expect.
As soon as a position has its trailing stop above the buy price there
is no more risk with that position - so another position can be
opened with the risk still being kept to 5% of capital.
Limiting open positions to a fixed number is the problem that I want
to get around.
I could have 1000 open positions and as long as the trailing stop for
each is above their buy price there is no risk. I can open another 10
positions with risk 0.5% of total equity and keep by risk to 5% of
capital.
Note I now have a lot more capital as I have 100 open positions in
profit and I now want to risk .5% per trade of that equity on the new
10 positions.
Geoff
--- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxxx> wrote:
>
> correction
> numshares = 0.05 * capital/(entry - stop)
>
> Paul
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Paul Ho
> Sent: Wednesday, 4 January 2006 10:34 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] BackTest Question
>
>
> 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
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Geoff Mulhall
> Sent: Wednesday, 4 January 2006 11:21 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] BackTest Question
>
>
> 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
>
>
>
>
>
> 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
>
>
>
>
>
>
> SPONSORED LINKS
> Investment
> <http://groups.yahoo.com/gads?
t=ms&k=Investment+management+software&w1=Inves
>
tment+management+software&w2=Real+estate+investment+software&w3=Invest
ment+p
>
roperty+software&w4=Software+support&w5=Real+estate+investment+analysi
s+soft
> ware&w6=Investment+software&c=6&s=200&.sig=_XXUzbE9l5lGlZNcMu4KNQ>
> management software Real
> <http://groups.yahoo.com/gads?
t=ms&k=Real+estate+investment+software&w1=Inve
>
stment+management+software&w2=Real+estate+investment+software&w3=Inves
tment+
>
property+software&w4=Software+support&w5=Real+estate+investment+analys
is+sof
> tware&w6=Investment+software&c=6&s=200&.sig=5_sgDczz3ArKGMtJ9tFSJA>
estate
> investment software Investment
> <http://groups.yahoo.com/gads?
t=ms&k=Investment+property+software&w1=Investm
>
ent+management+software&w2=Real+estate+investment+software&w3=Investme
nt+pro
>
perty+software&w4=Software+support&w5=Real+estate+investment+analysis+
softwa
> re&w6=Investment+software&c=6&s=200&.sig=_N6zcwefgp4eg5n6oX5WZw>
property
> software
> Software
> <http://groups.yahoo.com/gads?
t=ms&k=Software+support&w1=Investment+manageme
>
nt+software&w2=Real+estate+investment+software&w3=Investment+property+
softwa
>
re&w4=Software+support&w5=Real+estate+investment+analysis+software&w6=
Invest
> ment+software&c=6&s=200&.sig=MJ2jP31F3n64RDZkDadU8w> support Real
> <http://groups.yahoo.com/gads?
t=ms&k=Real+estate+investment+analysis+softwar
>
e&w1=Investment+management+software&w2=Real+estate+investment+software
&w3=In
>
vestment+property+software&w4=Software+support&w5=Real+estate+investme
nt+ana
>
lysis+software&w6=Investment+software&c=6&s=200&.sig=GmF8PlAJASx0wrSaX
5-Zlw>
> estate investment analysis software Investment
> <http://groups.yahoo.com/gads?
t=ms&k=Investment+software&w1=Investment+manag
>
ement+software&w2=Real+estate+investment+software&w3=Investment+proper
ty+sof
>
tware&w4=Software+support&w5=Real+estate+investment+analysis+software&
w6=Inv
> estment+software&c=6&s=200&.sig=aMgGsKT4w29dMAYUzQUKzg> software
>
> _____
>
> YAHOO! GROUPS LINKS
>
>
>
> * Visit your group "amibroker
> <http://groups.yahoo.com/group/amibroker> " on the web.
>
>
> * To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
> <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
>
>
> * Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service
> <http://docs.yahoo.com/info/terms/> .
>
>
> _____
>
------------------------ Yahoo! Groups Sponsor --------------------~-->
Try Online Currency Trading with GFT. Free 50K Demo. Trade
24 Hours. Commission-Free.
http://us.click.yahoo.com/RvFikB/9M2KAA/U1CZAA/GHeqlB/TM
--------------------------------------------------------------------~->
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|