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PositionSize = Max( -1/ShareRisk*BuyPrice, -10 );
example
Buyprice = 20.00
Sharerisk = 1.00 (5%)
Equity Risk = 1%
PositionSize = Max( -1*20.00/1.00, -10) = Max( -20,-10 ) = -10; ie 10% equity size, because it exceeds your 10% limit
example
Buyprice = 20.00
Sharerisk = 4.00 (20%)
Equity Risk = 1%
PositionSize = Max( -1*20.00/4.00, -10) = Max( -5,-10 ) = -5; ie 5% equity size
The larger the stop amount, the smaller the trade size
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://www.aflwriting.com
On 06/05/07, Paul Ho <paultsho@xxxxxxxxxxxx> wrote:
Its probably easlier to use setpositionsize(), look up
the help file
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@xxxxxxxxxxxxxxx,
Graham <kavemanperth@xxx> 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@xxx>
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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