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Hello,
I am trying to write a system that risks always 0.75% of CURRENT EQUITY per trade and uses ATR stops, which means that I need the custom backtester to access actual equity. The problem is that I can't access the ATR value in the signal object, where I could define the position size.
Here is the description that shows how it should work when it is finished:
1.) RiskPerContract = 2*ATR(50) x PointValue x (1/TickSize);
2.) Contracts = (CurrentEquity x 0.75%) / RiskPerContract;
3.) PositionSize = Contracts x MarginDeposit;
I have already tried a lot and can't find any solution. Please help if possible. See my code below. For simplicity i have just tried to access the ATR value. It seems that AmiBroker simply ignores the value of sig.PosSize and instead uses full equity for the trade.
Thanks in advance !
Kind regards,
Thomas
SetCustomBacktestProc("");
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
for( bar = 0; bar < BarCount; bar++)
{
CurrentPortfolioEquity = bo.Equity;
for( sig = bo.GetFirstSignal(bar); sig; sig = bo.GetNextSignal(bar))
{
sym = sig.Symbol;
SetForeign(sym);
MyATR = Ref(2*ATR(50),-1);
RestorePriceArrays();
if( CurrentPortfolioEquity > 0 ) sig.PosSize = MyATR[bar];
else sig.PosSize = 0;
}
bo.ProcessTradeSignals(bar);
}
bo.PostProcess();
}
/***********************************************************************/
// sample rules:
Buy = Cross( CCI(), 100 );
Sell = Cross( 100, CCI() );
Short = Cross( -100, CCI() );
Cover = Cross( CCI(), -100 );
/***********************************************************************/
SetOption("InitialEquity",100000);
SetOption("FuturesMode",True);
PointValue = PointValue * (1/TickSize);
RoundLotSize = 1;
MarginDeposit = 1000;
/***********************************************************************/
_SECTION_BEGIN("Price");
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, "Close", ParamColor("Color", colorBlack ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() );
_SECTION_END();
/***********************************************************************/
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