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Hmmm: with custom backtester interface, can position size be set as
number of contracts based on a multiple of margin deposit?
The Portfolio Backtester Interface Reference shows sig.PosSize as a
float, positive as dollar value or negative for % of account. Doesn't
look like it can be done, but more seasoned CBT writers might
disagree. :)
I want to test a multiple of margin deposit to set the number of
contracts. Hypothetical example:
////////////////////////////////////////////
cash = bo.Cash;
contracts = cash / ( 3 * myMarginDeposit );
bo.EnterLongTrade( // rest of line here...
////////////////////////////////////////////
--- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@xxx> wrote:
>
> Use the CBT. In general, see
> http://www.amibroker.com/kb/category/afl/custom-backtest/
>
> In particular:
>
> eq = bo.Equity();
>
> and use this (TJ's) function to find the value of equity at the
> previous bar:
>
> function FindPrevEquityAtDateTime( eq, dt, Value )
> {
> found = -1;
> for( i = 0; i < BarCount AND found == -1; i++ )
> {
> if( dt[ i ] == Value ) found = i;
> }
>
> return IIf( found != -1, eq[ found-1], Null ); // Eq at start of
> trade
> }
>
>
> PS
> --- In amibroker@xxxxxxxxxxxxxxx, "dralexchambers" <dralexchambers@>
> wrote:
> >
> > I am using "SetPositionSize(xxxx,spsShares)" to set my PositionSize.
> > This sets the number of contracts to use in a futures backtest.
> >
> > I would like xxxx to be related to the current Equity in the backtest
> > the following way:
> >
> > xxxx = 7 by default;
> > If current Equity at current trade > 20000, then xxxx = 10
> > If current Equity at current trade > 30000, then xxxx = 11
> >
> > There are other rules for xxxx, but all are related to current Equity.
> >
> > Could anyone help me with this please - thanks.
> >
>
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