[amibroker] Net position sizing.

["cipherscribe" <adrian.mollenhorst@xxxxxxxxx>]

I trade the ES Futures contract mechanically, and I want my to be able
to backtest my system such that it has a maximum net position at any
one time of abs(x) positions.

I can set the option to limit the number of Maximum Open Positions,
but this doesn't help me when I am trading only 1 instrument. 

For example (Note I am using the backtest mode
"backtestRegularRawMulti", so I take every raw signal my equity allows
me.), the system can issue a buy, which will make me long. If the
system issues a short, while I'm long, it will send a short order,
which will make me effectively flat.

This will count as 2 open orders in the backtester, but in reality, I
have no positions open, and could take another abs(x) in either
direction before I hit my maximum limit of open positions (x).

So if I had 2 longs open, I could accept up to 5 shorts, if my maximum
open position(x) was abs(3).

This is different from exiting a position when a signal in the
opposing direction is triggerred, as in "ReverseSignalForcesExit",
since that option cancels the existing order. I need both to remain
open, remembered, and exited at my sell/cover trigger, not the
opposing short/buy signal.

What I need is for Amibroker to tabulate both long and short positions
distinctly, to count longs as positive, shorts as negatively, and to
be able to set a maximum net position.

I can do this in reality with no problems - send orders to IB based on
a maximum net position, but I'd like to be able to do it in
backtester, so I can validate the system.

Any Ideas?


------------------------------------

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

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    mailto:amibroker-digest@xxxxxxxxxxxxxxx 
    mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/