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[amibroker] Re: Rotational Trading and Position Sizing Problem



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Trading Reference Links

True,

If you do it they way you wrote it.  However, I'm beginning to wonder
if something is corrupted in my Amibroker (or there's a setting I've
accidentally changed that I can't find) .  Even on normal trades I'm
getting this...and I have a "scale in/out" column in the results table
I've never seen before (or never noticed)???


--- In amibroker@xxxxxxxxxxxxxxx, "Ed Hoopes" <reefbreak_sd@xxx> wrote:
>
> I think for PS in percent to work, it has to be a negative number like:
> 
> 	PositionSize  = -100 / MaxPos;
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "KBGlenn" <kbglenn@> 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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