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RE: [amibroker] Position Size Settings



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Chris,

 

I don't see what you may be doing wrong. Maybe someone else can see it.

Those settings work for me in my own code, but I'm using Daily timeframe (which shouldn't matter).

--

Terry

-----Original Message-----
From:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Chris Graham
Sent: Sunday, April 30, 2006 12:39
To:
amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Position Size Settings

 

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?

 

regards

Chris


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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