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Tom,
I don't have any experience trading futures, so cannot give a
competent answer to your question.
However, if your PositionSize is 1 and the value of Volume is 3, then
using Buy = ...AND PositionSize < .1 * Volume in your code would
prevent that trade since 1 > 0.3.
Similarly, changing the code to PositionSize > Volume = 0 is
meaningless since you are saying PositionSize > 0 (i.e. your code is
first setting Volume to zero then checking if PositionSize is greater
than that result).
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "professor77747" <professor@xxx>
wrote:
>
> In the AA porfolio tab, I have Max Open Position set at 1
> I have Limit Trade size % at 10 and I have the disable trade size
> limit when bar is at zero checked.
>
> I added AND PositionSize < Volume * 0.10; to my buy statement. The
> reults changed dramatically. I only had 8 trades instead of 45.
>
> I am trading 1 future contract. Would this make a difference? I have
> checked the missing trades and the volume was 3 contracts on one,
> zero on another, 19 on the third, and zero on a fourth. This doesn't
> make sense to me.
>
> Also, if I change the
>
> AND PositionSize < Volume * 0.10;
> to
> AND PositionSize > Volume = 0;
>
> I get results that are that are the same as I get without adding any
> of this. However, the trades are still missing.
>
> Tom
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "professor77747" <professor@>
> wrote:
> >
> > Thanks Mike,
> >
> > I will try your suggestion. I already have it set in the AA
> settings.
> > I just want to duplicate the backtesting trades using my formula
so
> I
> > want to add it to my formula.
> >
> > I am automatic trading and I check my actual trades with the
> backtest
> > trades after they are placed. I noticed that a few trades were
made
> > that were not made on the backtest list.
> >
> > Tom
> >
> > Tom
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> > >
> > > The setting you describe can be found on the Portfolio tab of
the
> > AA
> > > window as described here:
> > > http://www.amibroker.com/guide/w_settings.html
> > >
> > > If you want to accomplish the same thing programatically, just
> add
> > > the condition as part of your buy logic.
> > >
> > > e.g. Assuming that you've got PositionSize set as a number of
> shares
> > >
> > > Buy = ... AND PositionSize < Volume * 0.10;
> > >
> > > If you have PositionSize set as a percentage of equity, you
would
> > > need to move the check into custom backtest code to multiply the
> > > percentage by the Equity property of the backtester object.
> > >
> > > But, of course, it's easiest to just set the value in the AA
> > window :)
> > >
> > > For consistency, you may want to set all your settings just the
> way
> > > you like, then save them to an external .abs file. That way you
> can
> > > mess around with other settings with the comfort of knowing that
> > you
> > > can always reload the known good values before doing a "real"
> run.
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "professor77747" <professor@>
> > > wrote:
> > > >
> > > > I have a formula that I backtested. I found that some trades
> were
> > > not
> > > > made when the conditions were satisfied. Then I was told that
> the
> > > > settings in AA were the problem.
> > > >
> > > > I was told that by default AmiBroker won't open new trades
when
> > > desired
> > > > trade size is less than 10% of bar volume. I searched help for
> > > volume
> > > > and bar volume, but I didn't find anything that I thought
would
> > > help me
> > > > add that condition to my formula.
> > > >
> > > >
> > > > How can I duplicate that condition?
> > > >
> > > > Thanks,
> > > > Tom
> > > >
> > >
> >
>
------------------------------------
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