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I'm a freshman on amibroker,and I used wealth-lan for some
time,wld's limit on position sizing,speed,and lack of respondence of
request bother me so much, I heared that script in amibroker is very
fast,but I don't know how powerful the position sizing functions in
amibroker is.
here is a system and a position size rule named dynamic exposure,the
position sizing part is difficult to code in wld,I don't know
whether it's difficult in amibroker to code or not?
system:
bollinger break out system,look period = 30,STD=3,stop price is
reversed Bollinger band(period=20,STD=2),and trading rules are:
long side:
1) if close price is cross over BollingerBand(Close,20,3)'s upper
band,long position is established at the close price;
2) if close price is cross under BollingBand(Close,20,2)'s Lower
Band,the long position is liquidated at the close price;
Short Side:
1) if close price is cross under BollingerBand(Close,20,3)'s Lower
band,Short position is established at the close price;
2) if close price is cross over BollingBand(Close,20,2)'s Upper
Band,the long position is liquidated at the close price;
position sizing rules:
1) the initial exposure on each trade is 2% of current reduced
equity,position size=2% of the current reduced equity / ABS(entry
price - Trailing Stop).
(the concept of reduced equity is from Mr. Van Tharp,it's total
equity minus all the open profit,then plus the open profit that
locked by trailing stop )
2) when entry condition is triggerd,an initial position would be
established(of course,a trailing stop is placed at the same
time ),if the trailing stop is better than the entry price(for long
position,it's higher than entry price,for short position,lower),a
pyramiding position would be added(relevant trailing stop is placed
in no time),the size of the pyramiding position is 1% of current
reduced equity /ABS(entry price-trailing stop), that's,the initial
exposure of the pyramiding position is 1% of the reduced
equity.these two positions are separate;
3) While holding the position,the ongoing exposure of the position
is 1.5 x initial exposure(so,initial position's ongoing exposure is
3%,pyramiding ongoing exposure is 1.5%),every day,the exposure of
the position is calculated,and judged whether the exposure goes
beyond the limit or not,if so,the position size would be reduced
until the exposure is in the limit,if the exposure is small,the
position size would be tried to increase until it's almost hit the
limit.In this way,the whole exposure could be monitor and
measure,the position size could be modified according the price
fluctuation.
(the technique of merging position is used in this step)
4) the whole exposure of the account limit is 10% of the equity,if
the whole exposure goes beyond the limit,no position would be added
or increase.
5) the initial exposure or ongoing exposure of each position should
be stored in a file or in an relevant indicator that could be
plotted on the chart.
If amibroker could do what wld can't,maybe it's time for me to
consider selecting amibroker instead of wld.
regards.
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