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the general idea is to loop through the signal objects and change the
property size.
I think there are example of this in the backtester documentation.
Ly
--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine" <rockprog80@xxx>
wrote:
>
> Hi,
>
> I checked for position sizing and found no way to change position
for each
> entry, only a general position sizing for each formula. Where
exactly can I
> find the information you are talking about?
>
> Thanks,
>
> Louis
>
> 2008/5/17 loveyourenemynow <loveyourenemynow@xxx>:
>
> > 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 <amibroker%40yahoogroups.com>, "Louis
> > Préfontaine" <rockprog80@>
> > 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@>:
> > >
> > > > Or maybe someone else can help me with this?
> > > >
> > > > Louis
> > > >
> > > > 2008/5/15 Louis Préfontaine <rockprog80@>:
> > > >
> > > > 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@>:
> > > >>
> > > >> 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@ <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>
> > <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><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
> > > >>> >> >>> >
> > > >>> >> >>>
> > > >>> >> >>>
> > > >>> >> >>>
> > > >>> >> >>
> > > >>> >> >>
> > > >>> >> >
> > > >>> >>
> > > >>> >
> > > >>> >
> > > >>> >
> > > >>> > ------------------------------------
> > > >>> >
> > > >>> > 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
> > > >>> >
> > > >>> >
> > > >>> >
> > > >>> >
> > > >>>
> > > >>>
> > > >>
> > > >>
> > > >
> > >
> >
> >
> >
>
------------------------------------
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