|
PureBytes Links
Trading Reference Links
|
O U C H !!!
That looks much better!
Thanks Graham!
d
_____
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Graham
Sent: Wednesday, February 14, 2007 5:07 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Scale In problems - need some help
Dingo
I think this may be something, if not then obviously it is something else
:-)
You have the trade delays set at 1 bar delay, but the calculations for
position sizing are set on the bar of the signal
Try this to find the size
SetPositionSize( valuewhen(buy,ScaleInSize), spsPercentOfEquity );
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://www.aflwriting.com
On 15/02/07, dingo <dingo@xxxxxxxxxxx> wrote:
Duudes!
I'm working on a scale in problem and have hit a wall. I've included the
afl below.
The problem I'm having is figuring out why the trade list doesn't seem to
jive with the _Trace output. The trace seems to be showing that the
routines are working but the position sizes in the trade list don't seem to
match. Plus I'm getting some funky exit prices??
I've been running it on a single stock with a date range of a few years just
to see if I have the mechanics are right.
I'd appreciate any and all comments on this.
Thanks!
d
/*
Here is what we want to try and do.
On the first buy signal we take 10% of the 10% position, so 1%
If it closes down anytime while in position we take 20% of the 10%
position, so 2%
If it closes down again anytime while in position we take 30% of the
10% position, so 3%
If it closes down again anytime while in position we take 40% of the
10% position, so 4%
So any position can have up to 4 scale ins.
You could have up to 10% of total equity in a position.
*/
/*==========================================================================
====
Global Settings
============================================================================
==*/
SetFormulaName("Scale In Test");
SetOption("ActivateStopsImmediately", False);
SetOption("AllowPositionShrinking", True);
SetOption("AllowSameBarExit", False);
SetOption("CommissionAmount", 0);
SetOption("CommissionMode", 2); //$$ per trade
SetOption("InitialEquity", 10000);
SetOption("InterestRate",0.00);
SetOption("MarginRequirement", 100);
SetOption("MaxOpenPositions", 10);
SetOption("MinShares", 0);
SetOption("NoDefaultColumns", False);
SetOption("PriceBoundChecking", False);
SetOption("ReverseSignalForcesExit", False);
SetOption("UseCustomBacktestProc", False );
SetOption("UsePrevBarEquityForPosSizing", False);
SetTradeDelays(1, 1, 1, 1);
MaxOpenTrades = GetOption("MaxOpenPositions");
if (Status("stocknum") == 0)
{
_TRACE("DBGVIEWCLEAR");
}
// Simple buy and sell rules
Buy = Cross( EMA( C, 10 ), EMA( C, 50 ) );
Sell = Cross( EMA( C, 50 ), EMA( C, 10 ) );
TotalPosition = 10; //Max Pct of Equity of all scaleins
FirstScaleIn = 10; //Pct of Total Position
SecondScaleIn = 20;
ThirdScaleIn = 30;
FourthScaleIn = 40;
FirstScaleInPctOfEqty = ( FirstScaleIn * TotalPosition ) / 100;
SecondScaleInPctOfEqty = ( SecondScaleIn * TotalPosition ) / 100;
ThirdScaleInPctOfEqty = ( ThirdScaleIn * TotalPosition ) / 100;
FourthScaleInPctOfEqty = ( FourthScaleIn * TotalPosition ) / 100;
ScaleInSize = Open - Open;
ScaleInCount = 0;
Dte = DateNum();
PositionScore = 1;
for( i = 0; i < BarCount; i++ )
{
if( Buy[ i ] AND ScaleInCount == 0 )
{
ScaleInCount = 1;
Buy[ i ] = True;
ScaleInSize[ i ] = FirstScaleInPctOfEqty;
_TRACE(" ");
_TRACE("Buy"
+ " Date: " + DateTimeToStr( DateTimeConvert( 2, Dte[ i ] ) )
+ " Buy = " + WriteVal( Buy[ i ], 1.0, 0 )
+ " Size: " + WriteVal( ScaleInSize[ i ], 1.2, 0 )
+ " CLose[i] " + Writeval( Close[ i ], 1.2, 0 )
+ " CLose[i-1] " + Writeval( Close[ i-1 ], 1.2, 0 )
);
}
if( ScaleInCount == 2
AND ( Close[ i ] < Close[ i -1 ] )
AND Sell[ i ] == 0 )
{
Buy[ i ] = sigScaleIn;
ScaleInSize[ i ] = SecondScaleInPctOfEqty;
_TRACE("SI2"
+ " Date: " + DateTimeToStr( DateTimeConvert( 2, Dte[ i ] ) )
+ " Buy = " + WriteVal( Buy[ i ], 1.0, 0 )
+ " Size: " + WriteVal( ScaleInSize[ i ], 1.2, 0 )
+ " CLose[i] " + Writeval( Close[ i ], 1.2, 0 )
+ " CLose[i-1] " + Writeval( Close[ i-1 ], 1.2, 0 )
);
}
if( ScaleInCount == 3
AND ( Close[ i ] < Close[ i -1 ] )
AND Sell[ i ] == 0 )
{
Buy[ i ] = sigScaleIn;
ScaleInSize[ i ] = ThirdScaleInPctOfEqty;
_TRACE("SI3"
+ " Date: " + DateTimeToStr( DateTimeConvert( 2, Dte[ i ] ) )
+ " Buy = " + WriteVal( Buy[ i ], 1.0, 0 )
+ " Size: " + WriteVal( ScaleInSize[ i ], 1.2, 0 )
+ " CLose[i] " + Writeval( Close[ i ], 1.2, 0 )
+ " CLose[i-1] " + Writeval( Close[ i-1 ], 1.2, 0 )
);
}
if( ScaleInCount == 4
AND ( Close[ i ] < Close[ i -1 ] )
AND Sell[ i ] == 0 )
{
Buy[ i ] = sigScaleIn;
ScaleInSize[ i ] = FourthScaleInPctOfEqty;
_TRACE("SI4"
+ " Date: " + DateTimeToStr( DateTimeConvert( 2, Dte[ i ] ) )
+ " Buy = " + WriteVal( Buy[ i ], 1.0, 0 )
+ " Size: " + WriteVal( ScaleInSize[ i ], 1.2, 0 )
+ " CLose[i] " + Writeval( Close[ i ], 1.2, 0 )
+ " CLose[i-1] " + Writeval( Close[ i-1 ], 1.2, 0 )
);
}
if( ScaleInCount > 4 OR Sell[ i ] )
{
Buy[ i ] = 0;
ScaleInCount = 0;
}
if( Buy[ i ] )
ScaleInCount = ScaleInCount + 1;
If ( Sell[ i ] )
_TRACE("Sale On Date: "
+ DateTimeToStr( DateTimeConvert( 2, Dte[ i ] )));
}
SetPositionSize( ScaleInSize, spsPercentOfEquity );
Filter = 1;
AddColumn(Buy, "Buy", 1.0);
AddColumn(Sell, "Sell", 1.0);
AddColumn(Close, "Close", 1.2);
AddColumn(ScaleInSize, "ScaleInSize", 1.2);
AddColumn(BuyPrice, "BuyPrice", 1.2);
AddColumn(PositionSize, "PositionSize", 1.2);
Content-Description: "AVG certification"
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.5.441 / Virus Database: 268.17.39/687 - Release Date: 2/14/2007 4:17 PM
|