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Have you tried, SetOption( InitialEquity, 100000 ) at the begining of the
code?
That will not take into account any loses, but will always trade with that
fixed amount.
Jerry
On Mon, 08 Jan 2007 23:09:39 -0500, brentonfx <brentonfx@xxxxxxxxxxx>
wrote:
> Graham
>
> I don't actually want to size the trades based on equity at all.
> What I want to do is size the trades based on average turnover of
> the stock in question, so I take bigger trades in higher turnover
> stocks and smaller trades in lower turnover stocks. I then want to
> take as many trades as I can until I have committed an amount to the
> market equivalent to my initial equity.
>
> Even if I size trades off of initial equity, for example using a
> fixed % of initial equity risked per trade, or in other words a
> fized dollar risk per trade, the backtester will take trades until
> all the current equity is utilised. So as time progresses the
> backtester will allow more than the initial equity to be committed
> to open trades. The only way I can see to limit it is using
> MaxOpenPositons, but I don't want to limit the actual number of
> trades, just the total amount of dollars committed to trades.
>
> What I was hoping was something as simple as
> SetOption("MaxDollarsInTrades",100000);
>
> Any hints on how to do it using the custom backtester?
>
> Regards
> Brenton
>
> --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxx> wrote:
>>
>> Why not just size the trades based on the initial equity rather
> than current
>> equity
>>
>>
>> --
>> Cheers
>> Graham
>> AB-Write >< Professional AFL Writing Service
>> Yes, I write AFL code to your requirements
>> http://www.aflwriting.com
>>
>> On 09/01/07, brentonfx <brentonfx@xxx> wrote:
>> >
>> > Tomasz
>> >
>> > Thank you for the reply, I am very very new at the custom
>> > backtester, so shall have to see if I can modify the example to
>> > suit. If anyone has actually coded the custom backtester to not
>> > compound profits, would they mind sharing how to do it? Thanks.
>> >
>> > I thought this may have been supported simply in Amibroker by
>> > setting an option somewhere that I had not managed to find.
>> >
>> > I think it is very important to be able to test without
> compounding
>> > profits for a couple of reasons.
>> >
>> > Firstly, if you do compound profits, and use position sizing
> based
>> > on your current equity, then trades that occur later in the
> backtest
>> > have a larger weighting on the overall performance of the system
>> > than those that occur earlier because they have larger position
>> > sizes. Even if position sizes are not based on current equity,
> more
>> > trades can be taken later in the backtest because more equity is
>> > available. So backtest results are always influenced more my
> trades
>> > that occur later in the test than by those that occur earlier.
> When
>> > I test I want all trades to have equal influence on the overall
>> > results regardless of when they occurred.
>> >
>> > Secondly, performance measures such as K-Ratio that are looking a
>> > straightness of the equity curve, or Sharp Ratio looking for
>> > consistency of returns, will not work correctly if profits are
>> > compounded. A compounded equity curve would ideally be
> exponential
>> > in shape, not the straight line that K-Ratio is looking for. So
> for
>> > these type of measures to work correctly it is necessary to use a
>> > fixed float value right through the test.
>> >
>> > Thirdly, in real trading, all profits can not be compounded all
> the
>> > time, as there is a requirement to pay tax on profits (unless you
>> > are luck enough to live in a tax free world!).
>> >
>> > These are just my thoughts, I would be interested to hear other
>> > peoples opinions.
>> >
>> > Regards
>> > Brenton
>> >
>> >
>> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@>
>> > wrote:
>> > >
>> > >
>> > > Hello,
>> > >
>> > > Custom backtester and it is pretty easy.
>> > > This example
>> > > http://www.amibroker.com/kb/2006/03/06/re-balancing-open-
> positions/
>> > >
>> > > can be easily modifed to achieve what you after.
>> > >
>> > >
>> > > Best regards,
>> > > Tomasz Janeczko
>> > > amibroker.com
>> > > ----- Original Message -----
>> > > From: "Terry" <MagicTH@>
>> > > To: <amibroker@xxxxxxxxxxxxxxx>
>> > > Sent: Monday, January 08, 2007 4:21 PM
>> > > Subject: RE: [amibroker] Not Compounding profits in backtester
>> > >
>> > >
>> > > > Custom backtest procedure can do this...not a simple project.
>> > > > --
>> > > > Terry
>> > > > -----Original Message-----
>> > > > From: amibroker@xxxxxxxxxxxxxxx
>> > [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
>> > > > Of brentonfx
>> > > > Sent: Monday, January 08, 2007 05:10
>> > > > To: amibroker@xxxxxxxxxxxxxxx
>> > > > Subject: [amibroker] Not Compounding profits in backtester
>> > > >
>> > > > Hi
>> > > >
>> > > > I there a way to stop the backtester from compounding
> profits?
>> > > >
>> > > > I want to simulate taking out all of my profits as they are
>> > earned,
>> > > > and continuing to trade with only my initial equity, for
> example
>> > > > $100k. If I use fixed trade size of say $25k it's easy, I
> just
>> > set
>> > > > the max open positions to 4. But I want to test a system
> that
>> > uses
>> > > > variable trade sizes, and if I've taken trades of less than
> $25k
>> > then
>> > > > I want to be able to take more than 4 trades.
>> > > >
>> > > > If I don't limit the max open positions, the backtester just
>> > takes
>> > > > more and more positions at once as the test progresses and
>> > equity
>> > > > grows, so my market exposure ends up being way more than the
>> > $100k max
>> > > > that I want to limit it to at any time.
>> > > >
>> > > > Is there a way to do this?
>> > > >
>> > > > Thanks
>> > > > Brenton
>> > > >
>> > > >
>> > > >
>> > > >
>> > > > 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
>> >
>> >
>> >
>> >
>>
>
>
--
Kind regards,
Jerry
Please note that this group is for discussion between users only.
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