[amibroker] Scaling out of positions

["matrix10014" <allansn@xxxxxxxxxxxxx>]

Hi all,

Would appreciate a little help with the code posted below.I am 
attempting to find out if scaling out of positions has merits over 
full liquidation.I am capable of optimising the first 2 profit 
targets,as well as the trailing stop,but I am unable to figure out 
how to optimize the percent of the position to scale out of at the 
first profit target.I know it entails optimising 
the "SetPositionSize".Any thoughts or help much appreciated

Allan

Buy = Cross( MA( C, 10 ), MA( C, 50 ) ); 
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 = Optimize( "FirstPT",20,15,400,5 ); 
; // profit 
SecondProfitTarget = Optimize( "SecondPT",50,50,100,5 ); 
; // in percent 
TrailingStop = Optimize( "TS",15,10,40,5 ); 
 // also in percent 

priceatbuy=0; 
highsincebuy = 0; 

exit = 0; 

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; 
       } 

      if( exit == 1 AND 
          High[ i ] >= ( 1 + SecondProfitTarget * 0.01 ) * 
priceatbuy ) 
       { 
         // second profit target hit - exit 
         exit = 2; 
         SellPrice[ i ] = Max( Open[ i ], ( 1 + SecondProfitTarget * 
0.01 ) * priceatbuy ); 
       } 

      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 price 
         highsincebuy = 0; 
       } 
    } 
} 

SetPositionSize( 50, spsPercentOfEquity ); 
SetPositionSize( 50, spsPercentOfPosition * ( Buy == 
sigScaleOut ) ); // scale out 50% of position


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