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Thanks - will study.
--- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxx> wrote:
>
> 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%
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Geoff Mulhall
> Sent: Tuesday, 14 March 2006 10:40 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Calculating Position Size Based on a % of
Current
> Equity
>
>
> Hi again,
>
> Does anyone know how it's done then ??
>
> Is there any documentation anywhere ??
>
> Thanks,
>
> Geoff
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@> 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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> >
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> >
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> >
> >
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