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Hi,
I believe that you should be able to make it work from within the
custom backtester. Your portfolio equity, on a bar by bar basis, is
available as a property from the backtester object (e.g. bo.Equity).
Similarly, the purchase price is available as a property from each
signal object (sig.Price).
Doing the math along the lines of the following should give you the
number of shares:
((sig.PosSize / -100) * bo.Equity) / sig.Price
Note that you must transform the position size from a negative whole
value to a positive fraction before multiplying against the equity.
http://www.amibroker.com/guide/a_custombacktest.html
Mike
--- In amibroker@xxxxxxxxxxxxxxx, Flávio Veloso <flavso@xxx> wrote:
>
> Hi Mike.
>
> Thanks for your reply.
>
> Unfortunately I'm setting PositionSize as percent of current equity
> (based on my stop), and I think that's the problem.
>
> I guess that if we knew the number of shares in advance, we could
take
> care of the issue in simple AFL:
>
> RoundLotSize = IIf(shares >= 100, 100, 1);
>
> Perhaps there is some way to get position size value *in dollars*
using
> the custom backtester? If yes, then we could just divide the dollar
> value by the close to get the approximate number of shares. Do you
know
> if it is possible do that that?
>
> Mike escreveu:
> >
> >
> > If you do not come up with any other solution, you can always
alter
> > the position size of each individual signal using custom
backtester
> > code.
> >
> > Assuming that you are setting numbers of shares in the PostionSize
> > calculation (as opposed to percentage of equity), something along
the
> > lines of the following (untested) code should work:
> >
> > SetOption("UseCustomBacktestProc", True );
> >
> > if (Status("action")== actionPortfolio) {
> > bo = GetBacktesterObject();
> > bo.PreProcess();
> >
> > for (bar = 0; bar < BarCount; bar++) {
> > for (sig = bo.GetFirstSignal(bar); sig; sig =
> > bo.GetNextSignal(bar)) {
> > if (sig.IsEntry() && sig.PosSize > 100) {
> > sig.PosSize = floor(sig.PosSize/100) * 100;
> > }
> > }
> >
> > bo.ProcessTradeSignals(bar);
> > }
> >
> > bo.PostProcess();
> > }
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%
40yahoogroups.com>,
> > Flávio Veloso <flavso@> wrote:
> > >
> > > Hi all.
> > >
> > > Is it possible to use different round lot sizes (e.g. by
setting
> > > RoundLotSize variable) depending on the number of shares that
are
> > going
> > > to be bought/short?
> > >
> > > Basically all I want is RoundLotSize = 100 for any position
size
> > that
> > > results in more than 100 shares to be bought/short, and
RoundLotSize
> > = 1
> > > for the rest.
> > >
> > > For example:
> > >
> > > Number of shares (based on PositionSize): 75
> > > Use RoundLotSize = 1
> > > Shares to buy = 75
> > >
> > > Number of shares (based on PositionSize): 125
> > > Use RoundLotSize = 100
> > > Shares to buy = 100
> > >
> > > Number of shares (based on PositionSize): 360
> > > Use RoundLotSize = 100
> > > Shares to buy = 300
> > >
> > > Anyone doing this? If so, how?
> > >
> > > Thanks in advance.
> > >
> > > --
> > > Flávio
> > >
> >
> >
>
>
> --
> Flávio
>
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