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Hi again,
Does anyone know how it's done then ??
Is there any documentation anywhere ??
Thanks,
Geoff
--- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxx> wrote:
>
> the example was to illustrate how expectancy is to be calculated
when risk
> is set to 0.01 of equity. it doesnt say how 0.01 is to be achieved,
whether
> it is via position sizing or stoploss or both.
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Geoff Mulhall
> Sent: Monday, 13 March 2006 3:34 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Calculating Position Size Based on a % of
Current
> Equity
>
>
> 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.
>
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