[amibroker] Re: Rotational Trading and Position Sizing Problem

["Ed Hoopes" <reefbreak_sd@xxxxxxxxx>]

I think for PS in percent to work, it has to be a negative number like:

	PositionSize  = -100 / MaxPos;


--- In amibroker@xxxxxxxxxxxxxxx, "KBGlenn" <kbglenn@xxx> wrote:
>
> I am trying to do a very simple rotational trading backtest where I am
> testing using the below code.  However, the position sizing is very
> messed up.  For example, I have the initial equity setting set at
> $100,000 and the first 8 trade of a series (all with the default of
> one position only and Buy/Close delays set at 0) taking positions of
> less than $10,000.  I've tried different toggling of the the allow
> position size shrinking and use previous bar for position sizing to no
> avail. Even fixing position size at a small value doesn't seem to help.
> 
> Help! 
> 
> A2 and B2 code here
> 
> Score = ((A2*.5) + (B2*.5))+10;//add 10 to prevent shorts
> 
> SetBacktestMode( backtestRotational );
> 
> WRH = Param("Worst Rank Held", 1, 1, 5, 1); 
> SetOption("WorstRankHeld",WRH);
> 
> HMB = Param("Hold Min Days", 7, 1, 21, 1);//or min bars
> SetOption("HoldMinDays", HMB);
> 
> PosSize = Param("Position Size", 1, 1, 5, 1 );
> //PosSize = Optimize("Position Size", 1, 1, 5, 1 );
> 
> SetOption("MaxOpenPositions", Possize ); 
> SetPositionSize( 100/PosSize, spsPercentOfEquity ); 
> //SetPositionSize( 10000, spsValue ); 
> 
> PositionScore = Score;
> //ApplyStop( 3, 1, 21, 1, volatile = False, ReEntryDelay = 0 );
>



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