Re: [amibroker] Position Size Problem when backtesting with Round Lot Size = 1

["Tomasz Janeczko" <groups@xxxxxxxxxxxxx>]

When everything fails, consult the manual.

AmiBroker allows to specify pos size directly in SHARES/CONTRACTS too.

SetPositionSize (spsShares)
http://www.amibroker.com/f?setpositionsize


Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message ----- 
From: "etoketrader" <etoke420@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, May 13, 2009 2:18 PM
Subject: [amibroker] Position Size Problem when backtesting with Round Lot Size = 1


> Hi All,
> 
> I am in the process of completing a simulator which records trades taken
> discretionarily and then performs a "backtest" on these trades in order
> to give you a performance result. Here is an example of the code with
> one trade on SPY:
> 
> TO BE RUN ON 1 MINUTE DATABASE / SPY on a daterange containing
> 06/02/2008
> 
> SetTradeDelays(0,0,0,0);
> SetOption("AccountMargin",1);
> SetOption("InitialEquity",10000);
> SetOption("PriceBoundChecking",0);
> 
> Buy=Short=Sell=Cover=0;
> 
> ShortPrice = 134.60;
> PositionSize = 2961.20;
> Short= IIf(Name() == "SPY" AND DateNum() == 1080206 AND TimeNum() ==
> 105000,1,0);
> CoverPrice = 134.98;
> Cover= IIf(Name() == "SPY" AND DateNum() == 1080206 AND TimeNum() ==
> 110000,1,0);
> 
> The problem is this: I would like to reflect a Quantity of 22 shares @
> 134.60 in this occasion. Since AB accepts PositionSize as a $ amount and
> not Quantity I specify a position size of 22*134.60 = 2961.20
> 
> If I set the backtester settings to Round Lot Size = 1, I get 21 shares
> instead of 22.
> If I set the backtester settings to Round lot Size = 0 (allow
> fractions), I get a size of 22, without fractions, as the price of
> 2961.20 is exactly divisble by 134.60.
> 
> Any ideas as to why this would happen? This "less 1 share" does not
> occur all the time. I was wondering if there is anything else I should
> be doing in order to ensure the exact number of shares is reflected.
> 
> regards,
> eToke.
> 
> 
> 
> 
> ------------------------------------
> 
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> 
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> 
> 
> 


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

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