[amibroker] Re: Rules when combining PositionSize with MaxOpenPositions

["Phsst" <phsst@xxxxxxxxx>]

Thanks for the reply.

Let's wait until morning to see if anyone else has any insight into
this, otherwise I'm impressed with the improvement in Net Profit (not
to mention Max Sys Drawdown) by limiting individual trade amounts
based upon '% of entry bar volume'.

Rgds



--- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxx> wrote:
>
> Sound like you have the logic correct, and the extra positions when you
> are % volume limited are making the extra money. 
> 
> PS: If you comment out MaxOpenPositions, it will default to your
> AA->Settings for that number.
> 
> --
> 
> Terry
> 
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
> Behalf Of Phsst
> Sent: Sunday, June 25, 2006 19:48
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Rules when combining PositionSize with
> MaxOpenPositions
> 
>  
> 
> With the following backtest code:
> 
> PositionSize = -100/4;
> SetOption("MaxOpenPositions", 20);
> 
> I make the following assumptions:
> 
> I should usually expect to have a maximum of four (4) Open Positions,
> each equaling approx. 25% of Equity.
> 
> The ONLY exception should be when I have 'Backtester Settings' >
> 'Portfolio' > 'Limit trade size as % of entry bar volume:' set as a
> non-zero value, AND the % of volume specified on the day of the Buy
> signal is less than 25% of Equity. (This could result in more than 4
> Open Positions.)
> 
> Are there any other condition that would result in more than four (4)
> simultaneous Open Positions in the backtest?
> 
> The reason I ask is that my Backtest with the (MaxOpenPositions, 20)
> coded results in a 250% greater Net Profit versus when I have it
> commented out.
> 
> 
> 
> Rgds,
>