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RE: [amibroker] Re: Backtest: specifying position size in terms of compounded capital c,ount



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Its probably easlier to use setpositionsize(), look up the help file


From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of polomorabe
Sent: Sunday, 6 May 2007 7:18 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Backtest: specifying position size in terms of compounded capital c,ount

Thanks for the reply Graham.

However, it doesn't work.

For example, if the risk per share is 0.01, and the price is 1.46 (as
it was recently for IVAN), then your formula gives
MAX( -146, -10 )
which I don't suppose is what you mean.

I'm trying to do something like this. Position size is calculated such
that the position risk is either 1% of capital, or 10% of capital. But
during the backtest, this formula uses the initial capital, not the
current capital.

ShareRisk = BuyPrice - Ref(L,-1);
PositionRisk = 0.01 * Capital;
PositionSize = Min( ( PositionRisk/ShareRisk ) * BuyPrice,
Capital * 0.1 );

Any ideas?
Paul

--- In amibroker@xxxxxxxxxps.com, Graham <kavemanperth@...> wrote:
>
> Try this
>
> PositionSize = Max( -1/ShareRisk*BuyPrice, -10 );
>
> --
> Cheers
> Graham
> AB-Write >< Professional AFL Writing Service
> Yes, I write AFL code to your requirements
> http://www.aflwriting.com
>
>
> On 06/05/07, polomorabe <paul.moore@...> wrote:
> > Hello,
> >
> > I noticed in the User Manual that using a negative value for
> > PositionSize specifies the percentage of current capital per trade.
> > How can I combine this with defining the maximum risk per trade?
> >
> > For example, the following specifies the position size as the
minimum of:
> > - the value of 1% of the initial capital
> > - the share risk of 0.1% of the initial capital.
> > How can it be specified as a percentage of the compounded capital
amount?
> >
> > Many thanks,
> > Paul
> >
> > // Setup portfolio
> > Capital = 100000;
> > SetOption("InitialEquity", Capital );
> > SetOption( "MaxOpenPositions", 10 );
> > SetOption( "CommissionMode", 3 );
> > SetOption( "CommissionAmount", 0.01 );
> > ShareRisk = BuyPrice - Ref(L,-1);
> > PositionRisk = 0.01 * Capital;
> > PositionSize = Min(( PositionRisk/ShareRisk ) * BuyPrice, Capital
* 0.1);
> >
> >
>

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