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Geoff,
I don't have the code solution, but there IS still risk in that the
stock can (and will) gap down below your stop and can still give you a
loss...a big one at that. I was running some tests last night and saw up
to -44% losses in similar situations.
I agree the risk is lowered, but it's still there.
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of Geoff Mulhall
Sent: Thursday, January 05, 2006 01:56
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: BackTest Question
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
>
>
>
>
>
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