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You can do this with simple code by substracting the Max system drawdown %
from the available funds. It's not perfect but it will give you an
aproximation to Van Tharp's approach. Other than that, you need to follow
Graham advice for coding it.
Jerry
On Tue, 05 Dec 2006 06:27:47 -0500, 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.
>
--
Kind regards,
Jerry
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