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Bill,
You are right about that. What I like is that when I have a buy
signal on a symbol, say "YMZ7" a specific amount of margin is taken
into account, say $25.000. See the code below, which doesn't work.
Than I want that the number of contracts is calculated by dividing
50.000 by the required margin.
The first problem is that the symbols need to be recognized in AFL.
SymbL="YMZ7" OR "LCZ7" OR "ESZ7";
MarginDeposit = IIf(SymbL == "YMZ7",25.000,
IIf(SymbL == "ESZ7",10.000,
IIf(SymbL == "LCZ7",1.000,5.000)));
PositionSize = 50.000/MarginDeposit;
--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <timesarrow@xxx>
wrote:
>
> You say "I have little knowledge about programming in Amibroker."
The first step is for you to lay out the logic and formulae that you
want programmed which I suspect your thesis advisor expects you to do
independently. When that is posted some programming assistance will
probably be provided by someone.
>
> Bill
>
> ----- Original Message -----
> From: "dingo" <dingo@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, April 29, 2008 4:29 PM
> Subject: RE: [amibroker] Re: Position sizing multiple futures
>
>
> >I don't do thesis work - sorry.
> >
> > d
> >
> >> -----Original Message-----
> >> From: amibroker@xxxxxxxxxxxxxxx
> >> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of optiekoersen
> >> Sent: Tuesday, April 29, 2008 4:28 PM
> >> To: amibroker@xxxxxxxxxxxxxxx
> >> Subject: [amibroker] Re: Position sizing multiple futures
> >>
> >> Looks like you know how to solve it, but you give no advice how
to do
> >> it. If I knew it, I wouldn't be asking it, would I?
> >>
> >> I have little knowledge about programming in Amibroker. The only
> >> thing I can think of is specifying for every symbol the
positionsize,
> >> so that when I run the tradingrule over all the symbols at once,
they
> >> take the individual positionsizes into account. But...I really
do not
> >> get it working.
> >>
> >> And no, you don't have to type it out...helping to find the
right
> >> direction would be appreciated very much...
> >>
> >>
> >> --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@> wrote:
> >> >
> >> > Working on a Master's and you can't solve this? Do you want
us to
> >> type for
> >> > you too?
> >> >
> >> > d
> >> >
> >> > > -----Original Message-----
> >> > > From: amibroker@xxxxxxxxxxxxxxx
> >> > > [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of optiekoersen
> >> > > Sent: Tuesday, April 29, 2008 3:57 PM
> >> > > To: amibroker@xxxxxxxxxxxxxxx
> >> > > Subject: [amibroker] Position sizing multiple futures
> >> > >
> >> > > For my Master Thesis I need to calculate the mean returns of
> >> > > different
> >> > > signals on 27 different futures.
> >> > >
> >> > > The margins vary from $1.080 till $22.500. Now I like that
if the
> >> > > $1.080 symbol gets a buy signal that $22.500/1.080 = 20
> >> > > (rounded below)
> >> > > contracts are bought. I really don't get this done.
> >> > >
> >> > > The problem now is that a 1% change in the $22.500 contract
has
> >> much
> >> > > more influence on the results than a 1% change in the $1.080
> >> contract.
> >> > >
> >> > > Hope someone knows how to solve this problem.
> >> > >
> >> > >
> >> > > ------------------------------------
> >> > >
> >> > > Please note that this group is for discussion between users
only.
> >> > >
> >> > > To get support from AmiBroker please send an e-mail directly
to
> >> > > SUPPORT {at} amibroker.com
> >> > >
> >> > > For NEW RELEASE ANNOUNCEMENTS and other news always check
DEVLOG:
> >> > > http://www.amibroker.com/devlog/
> >> > >
> >> > > For other support material please check also:
> >> > > http://www.amibroker.com/support.html
> >> > > Yahoo! Groups Links
> >> > >
> >> > >
> >> > >
> >> > >
> >> >
> >>
> >>
> >>
> >> ------------------------------------
> >>
> >> Please note that this group is for discussion between users only.
> >>
> >> To get support from AmiBroker please send an e-mail directly to
> >> SUPPORT {at} amibroker.com
> >>
> >> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> >> http://www.amibroker.com/devlog/
> >>
> >> For other support material please check also:
> >> http://www.amibroker.com/support.html
> >> Yahoo! Groups Links
> >>
> >>
> >>
> >>
> >
> >
> > ------------------------------------
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> > --
> > No virus found in this incoming message.
> > Checked by AVG.
> > Version: 7.5.524 / Virus Database: 269.23.6/1402 - Release Date:
4/28/2008 1:29 PM
> >
> >
>
------------------------------------
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