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Not so fast.
Wouldn't you like to see the equivalent Custom Backtester codes just
out of intellectual curiosity or for educational purpose ?
--- In amibroker@xxxxxxxxxxxxxxx, "Thomas" <tzg@xxx> wrote:
>
> Hello Graham,
>
> thanks a lot !
> My headache is over now. :-)
> Seems that i have tried it to complicated.
>
> Kind regards
> Thomas
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@> wrote:
> >
> > I thought you could just so it as this in the main afl code
> >
> > RiskPerContract = 2*ATR(50) x PointValue x TickSize; ( eg 2*ATR
> (50) x
> > 100000 x 0.0001 )
> >
> > PositionSize = -0.75 x MarginDeposit / RiskPerContract;
> >
> > --
> > Cheers
> > Graham
> > AB-Write >< Professional AFL Writing Service
> > Yes, I write AFL code to your requirements
> > http://www.aflwriting.com
> >
> >
> > On 24/04/07, Thomas <tzg@> wrote:
> > >
> > > 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.PosSizeand 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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