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Negative values in position size refer to percent of current equity.
It is described in the User's Guide:
http://www.amibroker.com/guide/h_backtest.html
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Geoff Mulhall" <geoffmulhall@xxxxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, May 03, 2007 2:01 PM
Subject: [amibroker] Re: Position sizing based on current equity possible ???
>I can't see Equity anywhere in this code Graham !
>
> What am I missing ?
>
> --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxx> 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@xxx> 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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Please note that this group is for discussion between users only.
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