Re: [amibroker] Calculating Position Size Based on a % of Current Equity

[Graham <kavemanperth@xxxxxxxxx>]

Is this it?

     Risk = 0.01 * EquityAtEntry ; //risk is defined as a constant
1% of current equity.

--
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


On 3/13/06, Geoff Mulhall <geoffmulhall@xxxxxxxxxxxxxxx> wrote:
> Hi,
>
> In the example provided by Tomasz below I do't see how the risk
> relates to the position size.
>
> When I enter a trade my position size in number of shares is
> calculated as  $ to Risk /(entry price - stop price)
> and I want my $ to risk on the trade to be a % of my currect equity.
>
> I was expecting to see the SetPositionSize used in the example below
> but it does not appear - so I'm wondering how the Risk value in the
> example below is used to set the position size in the trade.
>
> Any help appreciated.
>
> Geoff
>
> Example follows ->
>
> SetCustomBacktestProc("");
> MaxLossPointStop = 2*ATR(10); // dynamic volatility stoploss, 1st
> modification
>
> function FindEquityAtDateTime( eq, dt, Value )
> {
>   found = -1;
>   for( i = 0; i < BarCount AND found == -1; i++ )
>   {
>      if( dt[ i ] == Value ) found = i;
>   }
>   return IIf( found != -1, eq[ found  - 1 ], Null );
> }
> if( Status("action") == actionPortfolio )
> {
>    bo = GetBacktesterObject();
>    bo.Backtest(1); // run default backtest procedure
>    SumProfitPerRisk = 0;
>    NumTrades = 0;
>    dt = DateTime();
>    eq = Foreign("~~~EQUITY", "C" );
>
>   for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade
> () )
>   {
>      EquityAtEntry = FindEquityAtDateTime( eq, dt,
> trade.EntryDateTime );
>
>      Risk = 0.01 * EquityAtEntry ; //risk is defined as a constant
> 1% of current equity.
>
>      RiskAsPecentOfCurrentEquity = 100 * Risk / EquityAtEntry;
>      RMultiple = trade.GetProfit()/Risk;
>      trade.AddCustomMetric("Initial risk $", Risk  );
>      trade.AddCustomMetric("Equity at entry", EquityAtEntry );
>      trade.AddCustomMetric("Risk as % of Eq.",
> RiskAsPecentOfCurrentEquity );
>
>      trade.AddCustomMetric("R-Multiple", RMultiple  );
>      SumProfitPerRisk = SumProfitPerRisk + RMultiple;
>      NumTrades++;
>   }
>    Expectancy3 = SumProfitPerRisk / NumTrades;
>    bo.AddCustomMetric( "Expectancy (per risk)", Expectancy3 );
>    bo.ListTrades();
> }
> // your trading system here
>
> ApplyStop( stopTypeLoss, stopModePoint, MaxLossPointStop );
>
>
>
>
>
>
>
>
> 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
>
>
>
>
>
>
>
>


------------------------ 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/