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Sorry to reply to my own question, but apparently, and to my own
amazement, I have been able to come up with a solution.
First I created a composite that contains the integer I need, which
is the net number of surviving setups on any particular trading day.
>From there, it's fairly easy to define capital as another integer,
then write a PositionSize statement using conditional IIF.
PositionSize = IIF(PositionNumber <= X, Y, Capital / PositionNumber);
PositionNumber is obtained by using Foreign of course.
It seems to work just fine. PositionSize is reduced only when
necessary, and I can get a fine backtest showing pretty much how this
should work in real time, rather than backtesting simply with a
constantly reduced position size.
Sorry for the intrusion, but gosh is this stuff ever sticky for me.
Yuki
YT> I need to get an integer returned that would be the number of
YT> conditional orders I would need to enter on any given day, so that I
YT> can use that integer to dynamically set PositionSize every day.
YT> My question is, how do I get my backtest to count the number of
YT> setups each day, and store that number as the integer I need to set
YT> PositionSize.
YT> I can handle the setting of PositionSize without any problem, I am
YT> pretty sure. But I don't know how to make my setup exploration
YT> (which I would incorporate into the backtest for this purpose) count
YT> the number of setups and store that as a dynamic variable (if that is
YT> the right terminology).
YT> Anyone?
YT> Yuki
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