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this is an example from Tomasz awhile back. Dingo put
together a collection of documentation on PBT.
// this statement turns ON custom portfolio backtester
procedure
SetOption("UseCustomBacktestProc", True );
//
your formula is run first in actionBacktest
// mode (as in previous versions)
// and after that
//
actionPortfolio mode when you have full control
// over backtest process
if( Status("action") == actionPortfolio )
{
// retrieve the interface
to portfolio backtester
bo =
GetBacktesterObject();
// when using custom
backtest routine
// we need
to begin backtest procedure by
// calling PreProcess() method that
initializes
//
internal backtester
variables
bo.PreProcess();
// in our custom
backtest loop we must
// iterate through all bars and process each
bar
//
signals
// an
easier way is to use ProcessTradeSignals() method
// however there is also
an alternative way that
// gives even more control.
// But for this application ProcessTradeSignals will be just
perfect
for( bar = 0; bar < BarCount; bar++ )
{
// this retrieves current value of portfolio-level
equity
CurrentPortfolioEquity
= bo.Equity;
// the default position size is set by our system code to 25% of
// equity, but in this loop we will
modify the size based on
// current portfolio-level equity
// this for loop iterates through all trade signals and adjust pos
size
for( sig = bo.GetFirstSignal( bar ); sig; sig =
bo.GetNextSignal( bar ) )
{
// when our equity grows to $50000 set desired pos size to 20%
if(
CurrentPortfolioEquity > 50000 ) sig.PosSize = -20;
// if above $60K then 18%
if( CurrentPortfolioEquity >
60000 ) sig.PosSize =
-16;
// if above $80K then 12.5
if( CurrentPortfolioEquity >
80000 ) sig.PosSize =
-12;
}
// in simple applications like this
// (we only modify some signal
parameters but we do not modify the timing)
// we will use default processing of the
signals
bo.ProcessTradeSignals(
bar );
}
// after finishing trading signal processing loop
// we must call PostProcess()
// as it calculates necessary statistics and produces
trade list and report
bo.PostProcess();
// at this stage backtest
is completed
// and you can
call for example GetPerformanceStats
// method to calculate your own metrics from entire backtest
}
f =
Optimize("fast", 12, 1, 30, 1 );
s = Optimize("slow",
45, 20, 60, 1 );
Buy=Cross(MACD(f,s),Signal(f,s));
Sell=Cross(Signal(f,s),MACD(f,s));
SetOption("MaxOpenPositions", 10 );
SetOption("InitialEquity", 40000 );
PositionSize = -25; //
default position size of 25%
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 );
>
>
>
>
>
>
>
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