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Graham - I know I am one unlucky guy.. that did not work either.. I have
submitted ticket to AB.. it works as planned on future contract, but for
some reason if I switch to composite contract created from underlying future
contracts I get between 5 and 20 contracts per position so it seems like
with starting account size 50k and margin 9200 - the first position is 5
contracts.. - has anyone backtested based on composite contract created with
AddToComposite?
On 6/20/06, Graham <kavemanperth@xxxxxxxxx> wrote:
>
> PositionSize = MarginDeposit = 1; gives you a points only test result
>
> to buy only one contract you use
> PositionSize = MarginDeposit;
>
> You need to define the margindeposit, pointsvalue, tickszie in the symbol
> information (or for a single symbol you can just do it in the aFL)
> Also make sure you tick the Futures in the AA settings window.
>
>
>
> --
> Cheers
> Graham
> AB-Write >< Professional AFL Writing Service
> Yes, I write AFL code to your requirements
> http://e-wire.net.au/~eb_kavan/ab_write.htm
>
>
> On 21/06/06, Terry <MagicTH@xxxxxxxxxxx> wrote:
> >
> > PK,
> >
> >
> >
> > Wow! Better guess right on Long or Short at 10,000:1 leverage!
> >
> >
> >
> > PositionSize, when positive, refers to a fixed dollar amount. You must
> > trade AT LEAST the size of the MarginDeposit to get any trades.
> >
> >
> >
> > There are many options that can be set in code. Have you tried this one?
> >
> >
> >
> > SetOption( "FuturesMode" ,True); //Requires True or False //NOTE: This
> > is insufficient. You must also check Futures mode in AA-Settings.
> >
> >
> >
> >
> >
> > Some info from the Help section:
> >
> > *Position sizing*
> >
> > This is a new feature in version 3.9. Position sizing in backtester is
> > implemented by means of new reserved variable
> >
> > PositionSize = <size array>
> >
> > Now you can control dollar amount or percentage of portfolio that is
> > invested into the trade
> >
> > - positive number define (dollar) amount that is invested into the
> > trade for example:
> >
> > PositionSize = 1000; // invest $1000 in every trade
> > - negative numbers -100..-1 define percentage:
> > -100 gives 100% of current portfolio size,
> > -33 gives 33% of available equity for example:
> >
> > PositionSize = -50; /* always invest only half of the current
> > equity */
> > - dynamic sizing example:
> >
> > PositionSize = - 100 + RSI();
> >
> > as RSI varies from 0..100 this will result in position depending
> > on RSI values -> low values of RSI will result in higher percentage invested
> >
> >
> > If less than 100% of available cash is invested then the remaining
> > amount earns interest rate as defined in the settings.
> >
> > There is also a new checkbox in the AA settings window: "Allow position
> > size shrinking" - this controls how backtester handles the situation when
> > requested position size (via PositionSize variable) exceeds available
> > cash: when this flag is checked the position is entered with size shinked to
> > available cash if it is unchecked the position is not entered.
> >
> > --
> >
> > Terry
> >
> >
> >
> > -----Original Message-----
> > From: amibroker@xxxxxxxxxxxxxxx [mailto: amibroker@xxxxxxxxxxxxxxx] On
> > Behalf Of PKJR
> > Sent: Tuesday, June 20, 2006 14:39
> >
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: Re: [amibroker] Testing - # of contracts
> >
> >
> >
> > Tks for your help but the Point value is not up to me.. this Natural
> >
> > Gas contract - specs here:
> >
> > http://www.nymex.com/NG_spec.aspx
> >
> >
> >
> > I used PositionSize=1 (shown on my pic) - before but that did not work
> >
> > either.. the funny thing is that it works on just on underlying
> >
> > contract..but not on composite created from the contract..
> >
> >
> >
> >
> >
> > On 6/20/06, Terry <MagicTH@xxxxxxxxxxx > wrote:
> >
> > > Okay, I see what you want now. You need to use a fixed value for
> >
> > > PositionSize. AA automatically does compound testing and the number of
> >
> > > contracts is varying with the amount of equity you have.
> >
> > >
> >
> > > Try this in your code:
> >
> > >
> >
> > >
> >
> > > PositionSize = Param("Position Size",-100,-100,1000000,1);
> >
> > > //Adjustable in Parameters
> >
> > >
> >
> > > Or just
> >
> > >
> >
> > > PositionSize = 9200;
> >
> > > //Or a multiple thereof to trade more than 1 contract
> >
> > >
> >
> > > Maybe even this:
> >
> > >
> >
> > > numContracts = Param("Number of contracts to trade",1,1,100,1);
> >
> > > PositionSize = 9200 * numContracts;
> >
> > >
> >
> > > I also question your Point value. Do you really want 10,000:1
> > leverage?
> >
> > > --
> >
> > > Terry
> >
>
>
>
>
>
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