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hi graham,
can u please exlpain something regarding backtesting with position
sizing.
I start with $100000 as initial equity.
also i have trailing S/l and max 10 open positions.
when i backtest this is what happens
a) at first buy signal the whole equity is commited
b) only after it sells the whole position again does AMI enters new
position and again with full equity available(depending upon
previous trade)
c) how do i setup AMI so that it will uy only limited amt(2%) and
then have max 10 open positions.
pl help
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxx> wrote:
>
> Remember that this is calculated on the backtest open equity so
you need to
> check the equity curve from the backtest chart.
>
> if current equity is $25,000
> Equity risk is 2% ($500)
> Buyprice is $10
> Trade risk $0.50
>
> Trade size becomes 2*10/0.5 = 40% of equity, ie 1000 shares
> Working out as num shares
> Risk = 25000*0.02 = 500
> num shares = 500 / 0.50 = 1000 shares
> .
>
>
> --
> Cheers
> Graham
> AB-Write >< Professional AFL Writing Service
> Yes, I write AFL code to your requirements
> http://www.aflwriting.com
>
> On 03/11/06, wadebullock <wadebullock@xxx> wrote:
> >
> > 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@> 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@> 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
> > > >
> > > >
> > > >
> > > >
> > > >
> > >
> >
> >
> >
> >
> >
> > 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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