Re: [amibroker] Re: Different sell signals with position sizing and margin changing for each sig, AmiBroker Email List Archive

2008/5/17 loveyourenemynow <loveyourenemynow@xxxxxxxx>:

Hi,

you can customize position size in the backtesting interface.
same for multiple entry etc, I think there is some sample code i the
help or on the amibroker website under custum backtester.
Regarding margin you have to set the general margin as the lowest
possible and then stock by stock or trade by trade implement your
position sizing strategy.

Ly

--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine" <rockprog80@xxx>
wrote:
>
> I can hardly believe I am the only one who wants to set different
> positionsizing with each trade, and different exits, and be able to
buy a %
> on the first signal and the remaining on a second signal (if there
is one).
> Or maybe I am so wrong with this strategy...
>
> Louis
>
> 2008/5/15 Louis Préfontaine <rockprog80@xxx>:
>
> > Or maybe someone else can help me with this?
> >
> > Louis
> >
> > 2008/5/15 Louis Préfontaine <rockprog80@xxx>:
> >
> > Hi Graham,
> >>
> >> Thank you very much for your reply.
> >>
> >> I understand that the margin part may be complicated. But is it
possible
> >> then to adjust the % of equity for each trade if adjusting margin
is not
> >> possible? (Maybe in future AB version it could be interesting to
be able to
> >> adjust margin to each trade, because been able to have a 33
margin, for
> >> example, doesn't mean one wants to use full margin each time...).
> >>
> >> But what about how to buy 50% of equity on first signal and to be
able to
> >> act on the second one? I think it should be possible... I don't
understand
> >> why acting on the first signal makes it impossible to act on the
second. I
> >> tried using the sigscalein command but it wasn't a success... Do
you have
> >> something to recommand me on this? I read the manual and
searched and
> >> experimented but it wasn't successful...
> >>
> >> Thank you
> >>
> >> Louis
> >>
> >> 2008/5/14 Graham <kavemanperth@xxx>:
> >>
> >> Hi Louis
> >>> I will admit I have not thought too much on how you can do this as I
> >>> do not have the time to put aside. I would consider your best method
> >>> would be via advanced backtest code to alter the requirements of
entry
> >>> and exit
> >>>
> >>> --
> >>> Cheers
> >>> Graham Kav
> >>> AFL Writing Service
> >>> http://www.aflwriting.com
> >>>
> >>> 2008/5/15 Louis P. <rockprog80@xxx <rockprog80%40gmail.com>>:
> >>>
> >>> > Hmmm... Maybe I'm too boring or... well, nobody seems to be
able or
> >>> > want to help me with this.
> >>> >
> >>> > Maybe I ask too many question and don't help others enough?
> >>> >
> >>> > At least that'll be something to think about.
> >>> >
> >>> > Louis
> >>> >
> >>> >
> >>> > --- In amibroker@xxxxxxxxxxxxxxx
<amibroker%40yahoogroups.com>, "Louis
> >>> Préfontaine"
> >>> > <rockprog80@> wrote:
> >>> >>
> >>> >> Hi again (sorry for all the messages),
> >>> >>
> >>> >> I tried to use sigscalein but it isn't a big success yet. With
> >>> > the code
> >>> >> below, the system buys 50% on the first signal (which is ok), but
> >>> > ignores
> >>> >> the next one. I'd like to be able to buy 50% on March 3 (with a
> >>> > rule
> >>> >> planning to sell three days later) and buy another 50% on March 4
> >>> > (with
> >>> >> another exit rule) but even after looking in the manual and
trying
> >>> >> everything I could I didn't find how to do it.
> >>> >>
> >>> >> Same problem with trying to change the margin for each trade. I
> >>> > know how to
> >>> >> set the margin for the overall system, but I'd like to change how
> >>> > much
> >>> >> margin and equity I use with each trade.
> >>> >>
> >>> >> Anyone would be kind enough to help me with that? Thank you very
> >>> > much.
> >>> >> Please note that I first asked about this on May 6 (#123500) so I
> >>> > did a lot
> >>> >> of work by myself; but now I just don't know how to go futher.
> >>> >>
> >>> >> Thank you very much,
> >>> >>
> >>> >> Louis
> >>> >>
> >>> >> SetPositionSize( 50, spsPercentOfEquity );
> >>> >> SetOption("MaxOpenPositions", 2 );
> >>> >>
> >>> >> Buy1 = ( rule1 );
> >>> >> //Buy1 = ExRem ( Buy1, 3 );
> >>> >> //Sell1 = Ref ( Buy1, -3 );
> >>> >> Sell1 = BarsSince(Buy1) == 3;
> >>> >> InTrade1 = Flip( Buy1, Sell1 );
> >>> >> DoScaleIn1 = ExRem( InTrade1, Sell1 );
> >>> >>
> >>> >> Buy2 = rule2 ;
> >>> >> //Buy2 = ExRem( Buy2, 5 );
> >>> >> //Sell2 = Ref ( Buy2, -5 );
> >>> >> Sell2 = BarsSince(Buy2) == 5;
> >>> >> InTrade2 = Flip( Buy2, Sell2 );
> >>> >> DoScaleIn2 = ExRem( InTrade2, Sell2 );
> >>> >>
> >>> >> Buy3 = rule3 ;
> >>> >> //Buy3 = ExRem ( Buy3, 2 );
> >>> >> //Sell3 = Ref ( Buy3, -2 );
> >>> >> Sell3 = BarsSince(Buy3) == 2;
> >>> >> InTrade3 = Flip( Buy3, Sell3 );
> >>> >> DoScaleIn3 = ExRem( InTrade3, Sell3 );
> >>> >>
> >>> >> Buy4 = rule4 ;
> >>> >> //Buy4 = ExRem ( Buy4, 1 );
> >>> >> //Sell4 = Ref ( Buy4, -1 );
> >>> >> Sell4 = BarsSince(Buy4) == 1;
> >>> >> InTrade4 = Flip( Buy4, Sell4 );
> >>> >> DoScaleIn4 = ExRem( InTrade4, Sell4 );
> >>> >>
> >>> >> Buy = (Buy1 + sigScaleIn*doscalein1) OR (Buy2 +
> >>> > sigScaleIn*doscalein2) OR
> >>> >> (Buy3 + sigScaleIn*doscalein3) OR (Buy4 + sigScaleIn*doscalein4);
> >>> >> Sell = Sell1 OR Sell2 OR Sell3 OR Sell4;
> >>> >>
> >>> >> 2008/5/13 Louis Préfontaine <rockprog80@>:
> >>> >>
> >>> >> > Hi there,
> >>> >> >
> >>> >> > Here is what I managed to achieve:
> >>> >> >
> >>> >> > SetPositionSize( 50, spsPercentOfEquity );
> >>> >> > SetOption("MaxOpenPositions", 2 );
> >>> >> >
> >>> >> > Buy1 = rule1;
> >>> >> > Sell1 = BarsSince(Buy1) == 3;
> >>> >> >
> >>> >> >
> >>> >> > Buy2 = rule2 ;
> >>> >> > Sell2 = BarsSince(Buy2) == 5;
> >>> >> >
> >>> >> > Buy3 = rule3 ;
> >>> >> > Sell3 = BarsSince(Buy3) == 2;
> >>> >> >
> >>> >> > Buy4 = rule4;
> >>> >> > Sell4 = BarsSince(Buy4) == 1;
> >>> >> >
> >>> >> > Buy = Buy1 OR Buy2 OR Buy3 OR Buy4 ;
> >>> >> > Sell = Sell1 OR Sell2 OR Sell3 OR Sell4;
> >>> >> >
> >>> >> >
> >>> >> > Two problems remain:
> >>> >> >
> >>> >> > 1) I'd like to establish a margin of 100 for rule 1 and 2, a
> >>> > margin of 50
> >>> >> > for rule 3 and a margin of 33 for rule 4. Don't know how to do
> >>> > it;
> >>> >> > 2) Some of my signals cross each other; I want each signal to
> >>> > buy 50% of
> >>> >> > the equity leaving the other 50% "ready" for another signal
> >>> > while the first
> >>> >> > signal is still open... Right now with that code I only get the
> >>> > first
> >>> >> > signal and the second one is ignored. E.g. If Buy2 enters a
> >>> > position on
> >>> >> > May 5 and there is a signal on May 6, May 6 signal will get
> >>> > ignored. What I
> >>> >> > want is 50% on May 5 and if a signal comes on May 6 I want
> >>> > another 50%. Is
> >>> >> > this possible?
> >>> >> >
> >>> >> > Thanks again,
> >>> >> >
> >>> >> > Louis
> >>> >> >
> >>> >> >
> >>> >> >
> >>> >> >
> >>> >> >
> >>> >> >
> >>> >> > 2008/5/13 Louis Préfontaine <rockprog80@>:
> >>> >> >
> >>> >> > Hi again,
> >>> >> >>
> >>> >> >> Ok here is what I am trying to do. I'll try to add as much
> >>> > details as I
> >>> >> >> can.
> >>> >> >>
> >>> >> >> There is three different conditions on which I want to react
> >>> > differently.
> >>> >> >>
> >>> >> >> Condition 1) I buy the stock with full margin and full power
> >>> > and exits
> >>> >> >> after 10 days;
> >>> >> >> Condition 2) I buy the stock with no margin and exits after 10
> >>> > days;
> >>> >> >> Condition 3) I buy the stock with no margin and with less than
> >>> > 50% of my
> >>> >> >> equity and exits after 5 days.
> >>> >> >>
> >>> >> >> I am looking for a code to do this. It does not look that
> >>> > complicated,
> >>> >> >> but I don't know how to do it.
> >>> >> >>
> >>> >> >> If someone has any idea...
> >>> >> >>
> >>> >> >> Thanks,
> >>> >> >>
> >>> >> >> Louis
> >>> >> >>
> >>> >> >>
> >>> >> >>
> >>> >> >> 2008/5/13 louisprefontaine <rockprog80@>:
> >>> >> >>
> >>> >> >> Anyone?
> >>> >> >>>
> >>> >> >>> Thanks,
> >>> >> >>>
> >>> >> >>> Louis
> >>> >> >>>
> >>> >> >>> --- In amibroker@xxxxxxxxxxxxxxx
<amibroker%40yahoogroups.com><amibroker%
> >>> > 40yahoogroups.com>, "Louis
> >>> >> >>> Préfontaine" <rockprog80@>
> >>> >> >>> wrote:
> >>> >> >>>
> >>> >> >>> >
> >>> >> >>> > Hi,
> >>> >> >>> >
> >>> >> >>> > I am looking for a way to set different sell signals
> >>> > depending on
> >>> >> >>> particular
> >>> >> >>> > buy signals. E.G. For cond1 I want a particular sell, and
> >>> > for cond2
> >>> >> >>> > another particular sell.
> >>> >> >>> >
> >>> >> >>> > Also, I'd like to set a different equity management for
each
> >>> > condition.
> >>> >> >>> > E.g. For cond1 I want to use 50 margin, for cond2 33 margin
> >>> > and for
> >>> >> >>> cond 3
> >>> >> >>> > 100 margin, etc.
> >>> >> >>> >
> >>> >> >>> > Anyone can help me with that?
> >>> >> >>> >
> >>> >> >>> > Thanks,
> >>> >> >>> >
> >>> >> >>> > Louis
> >>> >> >>> >
> >>> >> >>>
> >>> >> >>>
> >>> >> >>>
> >>> >> >>
> >>> >> >>
> >>> >> >
> >>> >>
> >>> >
> >>> >
> >>> >
> >>> > ------------------------------------
> >>> >
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