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You can do this, but I will not say the coding is easy for a beginner
The initital trade size is fairly straightforward, but the size adjustment
based on current equity takes a bit of knowledge in AB coding as it needs to
be done in advanced portfolio backtest code.
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://www.aflwriting.com
On 05/12/06, tomahokinjo <tomahokinjo@xxxxxxxxx> wrote:
>
> 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.
>
>
>
> 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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