[amibroker] Re: How to Implement this type of Position Sizing?

["onlyobsession2k3" <jmpatton@xxxxxxxxxxxxx>]

I figured it out myself. Here's the AFL if anyone is interested. Note 
that it manually computes the Buying Power.

function CalcEqualValuePositionSize(NumberOfPositions, BuyingPower, 
MaxPosSize)
{
  PosSize = BuyingPower / NumberOfPositions;
  PosSize = IIf(PosSize > MaxPosSize, MaxPosSize, PosSize);
  return PosSize;
}

PosQty = 5;
SetOption("MaxOpenPositions", 1000);
SetOption("AllowPositionShrinking", True);
SetOption("UsePrevBarEquityForPosSizing", True);
SetOption("InitialEquity", 150000);
SetOption("AccountMargin", 25);

Leverage = 3.95;
BuyingPower = Equity() * Leverage;
PoSize = CalcEqualValuePositionSize(PosQty, BuyingPower, 40000);
SetPositionSize(PoSize, spsValue);



--- In amibroker@xxxxxxxxxxxxxxx, "onlyobsession2k3" <jmpatton@xxx> 
wrote:
>
> I'd like to code a Position Sizing function that does the following:
> 
> Splits all available equity such that,
> 1) There is a minimum of M (e.g., 5) positions opened
> 2) No position is larger than D (e.g. $30,000) amount
> 
> I want no maximum # of positions.
> 
> Two examples:
> A) $160,000 in equity, M = 5, D = $30,000, should be split such 
that 
> I have,
> -5 $30,000 positions
> -1 $10,000 position
> 
> B) $100,000 in equity, M = 5, D = $30,000, should be split such 
that 
> I have,
> -5 $20,000 positions
> 
> 
> Can this be done in AFL?
> Thanks.
>



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