Re: [amibroker] setpositionsize, etc., AmiBroker Email List Archive

2008/2/28, Graham <kavemanperth@xxxxxxxxx>:

SellPrice is just what it says it is, it defines what the trade will sell at. It uses Sell to determine which bar the sellprice array to use (in addition to the settradedelays function or in settings.

Using the example in the help files which your code is based on, it works fine for me
Try changing the report to Detailed Log in the AA settings to see exactly what is occurring bar by bar

--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com

On 29/02/2008, Louis Préfontaine <rockprog80@xxxxxxxxx> wrote:

Hi,

I posted a question yesterday or th day before, and maybe it was lost in all the emails, or whatever. So I post it again. If I can only understand this I am sure I can go a long way. Thanks!

* * *

I tried to build a simple system with a first profit target of 10% and a scaling of position, followed by a sell signal issued by specific indicators.   The following code is dumb enough; it's only an example I gave myself to try to learn

SetOption("UseCustomBacktestProc", False);
//
SetOption("MaxOpenPositions", 3 );
SetOption("InitialEquity", 100000 );
SetOption("AllowPositionShrinking", True );
SetOption ("AllowSameBarExit", False);
SetOption ("ActivateStopsImmediately", False);
SetOption ("MinShares", 100);
SetOption ("MinPosValue", 5000);
SetOption ("PriceBoundChecking", True);
SetOption ("CommissionMode", 2);
SetOption ("CommissionAmount", 25);
SetOption ("AccountMargin", 100);
SetOption ("ReverseSignalForcesExit", True);
SetOption ("UsePrevBarEquityForPosSizing", True);
SetOption ("PortfolioReportMode", 0);

Buy = RSI (14)<30
AND EMA (ADX (14),10)<20;

Sell = 0;
// the system will exit
// 50% of position if FIRST PROFIT TARGET stop is hit
// 50% of position is SECOND PROFIT TARGET stop is hit
// 100% of position if TRAILING STOP is hit
FirstProfitTarget = 10; // profit
SecondProfitTarget = 20; // in percent
TrailingStop = 10; // also in percent
priceatbuy=0;
highsincebuy = 0;
exit = 0;

CloseEMA = EMA(C,50);
RSI14= RSI (14);

    for( i = 0; i < BarCount; i++ )
    {
        if( priceatbuy == 0 AND Buy[ i ] )
        {
            priceatbuy = BuyPrice[ i ];
        }
        if( priceatbuy > 0 )
        {
        highsincebuy = Max( High[ i ], highsincebuy );
            if( exit == 0 AND
            High[ i ] >= ( 1 + FirstProfitTarget * 0.01 ) * priceatbuy)
                {
                    // first profit target hit - scale-out -
                    exit = 1;
                    Buy[ i ] = sigScaleOut;//Réduit position de %.
                }
            if
                ( exit == 1
                AND
                    (Close[i]<CloseEma[i-1]
                    OR
                    RSI14[i]>75
                    )


                )

                {
                    // second profit target hit - exit
                    exit = 2;
                    SellPrice[ i ] = Open[ i ];
                }
            if( Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy )
                {
                    // trailing stop hit - exit
                    exit = 3;
                    SellPrice[ i ] = Min( Open[ i ], ( 1 - TrailingStop * 0.01) * highsincebuy );
                }
            if( exit >= 2 )
                {
                    Buy[ i ] = 0;
                    Sell[ i ] = exit + 1; // mark appropriate exit code
                    exit = 0;
                    priceatbuy = 0; // reset p rice
                    highsincebuy = 0;
                }
        }
    }
SetPositionSize( 50, spsPercentOfEquity );
SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut )
); // scale out 50% of position///

Short=0;
Cover=0;

Ok; first I am not sure if my code makes sense. Because I tried to modify the spspercentofposition (green) and whatever the number I put there it changed nothing to the backtesting. I tried 20, 50, 70 (assuming it should be a scaling out of 20%, 50% or 70%) and it changed nothing. So I guess something is wrong.

Second, I am not sure about the utility of "sellprice" (blue). Does it actually replace the "sell" command? I assumed so, but I am not sure about this. When I write     SellPrice[ i ] = Open[ i ]; does it actually mean that it will sell on the open? Simply?

The yellow part is what I added to the code. But ideally, here is what I am trying to do: a system that would secure 33% of a position by scaling out after a 10-20% gain, and then selling everything when indicator is reached OR if the price goes down more than x% below the price at which there was the scaling out.   I think I would need another variable, maybe a "sellprice2" or something to set the new stop-loss.

I don't know if my question is clear, but I think that if I can understand this part I can make it on my own... at least for some days! ;-P

Thanks,

Louis

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