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Hi Graham,
Thanks for the reply. I'm trying to positionsize based on current
backtest equity. Prior to starting this thread, I had tried the
formula you sent, positionsize = -2 * buyprice/IPS;.
Starting with the first symbol of a portfolio backtest, this seemed
to do the job. But found that for some reason the number of shares
were always more than what they should be, if compared to my hand
calculation.
Since your reply, that formula still gives me more shares than what I
expect, however, if I backtest just the one symbol (the first of the
portfolio backtest) the number of shares are correct! Not sure what
to make of it or how to fix it.
I hope all of that makes sense. Any suggestions?
Thanks!
Wade
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxx> wrote:
>
> Are you trying to size the trades based on current backtest Equity,
instead
> of starting equity, with 2% risk and the stoploss?
>
> positionsize = -2 * buyprice/IPS;
>
> or if based on 7000 starting capital only
>
> positionsize = 0.02 * Capital * buyprice/IPS;
>
> --
> Cheers
> Graham
> AB-Write >< Professional AFL Writing Service
> Yes, I write AFL code to your requirements
> http://www.aflwriting.com
>
>
> On 02/11/06, wadebullock <wadebullock@xxx> wrote:
> >
> > Hi there!
> > I'm trying to develop a daytrading system(daily bars only) that
buys
> > on the open and sells on the close and also uses a modified
variation
> > of Tharps ATR position sizing technique..
> >
> > So far I've been unable to figure out what I need to do
> > in order for the backtester to update my "Capital" after a trade.
As
> > is, each trade, as the code would indicate only, uses only the
$7000.
> >
> > I've spent a lot of time trying to figure out what I need to do
and
> > have tried a lot of differnt things but can't seem to get it (not
> > much of a coder here). I'm guessing I need to use a loop of some
> > sort??? Any push in the right direction would be greatly
> > appreaciated.
> >
> > Wade
> >
> >
> > Filter = ...
> >
> > Cond1 = Open < (Ref (Close, -2) - X);
> > BuyStop = Open;
> > Buy = Cond1 AND Ref( Filter, -1) AND High > BuyStop;
> > BuyPrice = Max(BuyStop, Open);
> >
> > SellStop = Open - (ATR (10) * 0.3);
> > Sell = Low < SellStop OR Close;
> > SellPrice = Max( SellStop, Close );
> >
> > SetOption("MaxOpenPositions", 1 );
> > SetOption("InitialEquity", 7000 );
> > SetOption("AllowPositionShrinking", False );
> >
> > IPS = ATR (10) * 0.3; //initial protective stop
> > Capital = 7000;
> > BuyingPower = Capital * 2;
> > Risk = 0.02 * Capital;
> > PositionSize = Min ((Risk/IPS)*BuyPrice, (BuyingPower/BuyStop)
> > *BuyPrice);
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
>
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