Thanks for your reply Terry,
I have BuyPrice = SellPrice = O;
I added SetOption("UsePrevBarEquityForPosSizing",False);
to the code and it made no difference.
In the Backtester settings window I have:
Initial equity 100000 – allow position size shrinking
Positions long
Periodicity weekly
Min shares .1
Min pos value 5000
Round lot size 5
Margin requirement 100
Trades set to open with 1 bar delay
All stops disabled
And in the portfolio level settings max open positions 10
No other boxes are checked
I run the back test on an ASX watchlist and the first line of the AA
results indicate:
Ticker trade date price exdate shares position
value
CXP.AX long 1/6/01 9.66 8/6/01 1,230 11,882.85
Am I misreading something?
From:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Terry
Sent: Monday, 1 May 2006 3:59 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Position
Size Settings
That should work. I am
doing essentially the same and it works for me.
I don't see where you are setting BuyPrices, but I don't think this
affects the results.
OC = ParamField("Trade price", field = 0 );
BuyPrice = SellPrice = ShortPrice = CoverPrice = OC
Also you are not setting this and maybe that is the problem:
SetOption("UsePrevBarEquityForPosSizing",False);
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
On
Behalf Of q03237241
Sent: Sunday, April 30, 2006 03:02
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Position Size Settings
Hi,
This should be simple but I am obviously missing something...
I want to limit position size in a portfolio backtest and have the
following code:
//-------------------------------------
SetFormulaName("LastWeek");
//name in backtest report
SetBarsRequired(4000,1);
//needed line
SetTradeDelays(1, 1, 1,
1);
//open & close trades delay
SetOption( "initialequity", 100000
); //initial capital
PositionSize =
10000;
//trade size
RoundLotSize = 10;
SetOption( "MaxOpenPositions", 10
); //max trades open
SetOption( "PriceBoundChecking", 1
); //trade within days bar
//--------------------------------------
However when I run the backtest the AA results show trades entered
that exceed $10,000 in value.
What am I missing here?
regards
Chris
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