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d will work on it 
herman
Tuesday, April 24, 2007, 2:11:32 PM, you wrote:
> Of course he would! 8-)
> d
>> -----Original Message-----
>> From: amibroker@xxxxxxxxxxxxxxx
>> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of john_dxd_smith
>> Sent: Tuesday, April 24, 2007 1:56 PM
>> To: amibroker@xxxxxxxxxxxxxxx
>> Subject: [amibroker] Re: Position sizing based on current
>> equity possible ???
>> 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();
>> > > >
>> > >
>> > >
>> /*******************************************************************
>> > ****/
>> > > >
>> > > >
>> > >
>> >
>> Please note that this group is for discussion between users only.
>> To get support from AmiBroker please send an e-mail directly to
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>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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>>
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