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/*EXAMPLE
---------------------------*/
// set your stop in points
stop = 1.5;
// calculate stop distance relative to
entry level in %
chg = IIf(Buy,100* stop/BuyPrice,
IIf(Short,100* stop/ShortPrice,Null));
// Set your risk parameter as % of Equity
/trade
risk = 1;
/* Simple Equation Follows:
PositionSize * chg = equty * riks
OR
PositionSize = equity * (risk/chg)
----------------------------------------*/
ApplyStop(stopTypeLoss, stopModePoint,stop);
SetPositionSize(Nz(risk/chg)*100, spsPercentOfEquity);
As far as concerns the "dynamic" leverage, the backtester will check if
you have sufficient funds to enter the trade according to the margin
parameter that you set yourself.
:-)
reminds me of a Master card commercial that sounds more or less like
this:
"Opening an account with a broker - Master Card: $200;
Buying the best analytical software - Master Card: $300;
Not knowing how to calculate your stop: PRICELESS !!!"
droskill wrote:
Say I want to do position sizing based on the distance to a stop. For
example, say I want to size based on overall portfolio risk. I've
tried the following code:
PositionSize = -5*Buyprice/(Buyprice*0.12);
But that doesn't generate any trades. So, I'm guessing the code is
way, way wrong - can anyone help me out here?
Second related question: let's say position sizing using this method
results in the use of leverage. How can I make the leverage dynamic
so that the system automatically scales to the required leverage for
the system?
Thanks,
Damian
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