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you need to define the positionsize, otherwise AB just uses 100% per trade
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://www.aflwriting.com
On 07/11/06, rakshak2006 <rakshak2006@xxxxxxxxxxx> wrote:
>
> 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
> > >
> > >
> > >
> > >
> > >
> >
>
>
>
>
>
> 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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