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Hi Terry
I plotted a scatter diagram of the close vs position size from the exported
csv file for the following , and I find quite a few values over -10 using
weekly on the ASX300. A few of the extreme values are due to the stock not
trading in the last couple of bars. However in general the values were much
higher than I expected.
This is the exploration I used,
PositionSize = -2*Open/(2*ATR(10));
AddColumn(Close,"Close");
AddColumn(PositionSize,"Position Size");
Filter =1;
Regards
Dave
_____
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Terry
Sent: Monday, 10 July 2006 1:47 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Position Size question
Dave,
Your idea was interesting so I charted it. What is the concept here? I
looked at well over 100 stocks and the limit of -10 is 99.9% dominate. It
only creates a smaller position when there is extreme volatility, which
happens more easily with very low priced stocks.
Code to make the chart below. I inversed the plots for readability.
//Test of VanTharp PositionSize
SetChartOptions(1, chartShowDates);
Size = -2*BuyPrice/(2*ATR(10));
PositionSize = Max(Size,-10);
Plot(C,Name(),1,64);
Vmax = 2 * LastValue(Highest(V));
Vmin = -LastValue(Highest(V)) / 2;
Plot(V,"Volume",colorBlack,styleNoLine|styleDots|styleOwnScale,Vmin,Vmax);
Plot(V,"Volume",colorBlack,styleHistogram|styleOwnScale,Vmin,Vmax);
Plot(-PositionSize,"PositionSize",colorBlue,styleHistogram|styleLeftAxisScal
e);
Plot(-Size,"Size",colorRed,styleHistogram|styleThick|styleLeftAxisScale);
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of david
Sent: Sunday, July 09, 2006 07:42
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Position Size question
OK, I think I was looking at another Varp example first which put me in a
spin, in the user guide (Back-testing your trading ideas), the other example
within "Portfolio-level Backtesting" allows me to compare apples with apples
so to speak, this looks right .
PositionSize = Max(-2*BuyPrice/(2*ATR(10)),-10);
Regards
Dave
_____
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of david
Sent: Sunday, 9 July 2006 9:28 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Position Size question
Hello, I was wondering how to use Tharp's ATR position sizing (example in
users guide), but limit the position size to a "maximum" of 10% of trading
capital ?
Many thanks
Regards
Dave
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