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Thanks Graham - I'll look into the custom backtest code.
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxx> wrote:
>
> "~~~EQUITY" is only produced after the backtest is complete so cannot
> be used in the main AFL.
> You can only address this as % of equity in the AFL either using
> positionsize = -10; or setpositionszie(10,spsequity), these only give
> basic instructions and will not change the trade size as you wish to.
> To change the size you need to use the custom backtest code, there are
> various example of this in the help files and the various internet
> locations, eg AB knowledge base etc.
>
>
> --
> Cheers
> Graham Kav
> AFL Writing Service
> http://www.aflwriting.com
>
>
>
>
>
> 2009/5/22 spi_maker <jarea@xxx>:
> > Update: Thinking the problem might be due to circularity involved between ~~~EQUITY and SetPositionSize, I tried putting the operative statements in a loop:
> >
> > for (i = 1; i < BarCount; i++)
> > {
> > Indicated_Shares[i] = TheEquity[i] / Open[i];
> > ThePosition[i] = Min(Indicated_Shares[i], MaxShares[i]);
> > }
> >
> > Tested with and without the SetPositionSize inside of the loop - Still no results in the backtest - TRACE reveals that TheEquity stays at it's initial level throughout the entire loop
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "spi_maker" <jarea@> wrote:
> >>
> >> Thanks Graham - Yes I did have that setting ticked and turning it off solved the first problem. Now if I can just figure out what I am doing wrong in the second problem situation.
> >>
> >> Thanks again - Jim
> >>
> >> --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@> wrote:
> >> >
> >> > At a rough guess you have AllowPositionShrinking turned on
> >> >
> >> > --
> >> > Cheers
> >> > Graham Kav
> >> > AFL Writing Service
> >> > http://www.aflwriting.com
> >> >
> >> >
> >> >
> >> > 2009/5/22 spi_maker <jarea@>:
> >> > > I am trying to calculate a position size based on the current level of equity built up, but I not doing this properly.
> >> > >
> >> > > I set up a situation to limit trades to a percentage of recent average volume as:
> >> > >
> >> > > Vol_Limit = .05;
> >> > >
> >> > > MaxShares = MA(V, 10) * Vol_Limit * 1000;
> >> > >
> >> > > TheEquity = Foreign("~~~EQUITY", "C");
> >> > >
> >> > > Indicated_Shares = TheEquity / Open;
> >> > >
> >> > > The_Position = Min(MaxShares, Indicated_Shares);
> >> > >
> >> > > SetPositionSize(The_Position, spsShares);
> >> > >
> >> > >
> >> > >
> >> > > First Problem
> >> > >
> >> > > I was having difficulty getting working results so I set the position size to a fixed amount as:
> >> > >
> >> > > SetPositionSize(500, spsShares);
> >> > >
> >> > > When I ran the backtest, it dutifully set the shares to 500 except would randomly set the shares to 210, then 230, then 260, then 290 etc. in transactions 5, 16, 18, 30, etc. Throughout 600 trades, 99% of the share values are 500 and the rest are these odd values.
> >> > >
> >> > > I wonder if anyone has any idea what might be happening there.
> >> > >
> >> > >
> >> > >
> >> > > Second Problem is much simpler. When I use the SetPositionSize(The_Position, spsShares) in the backtester, I get no results at all. No trades, no nothing, which leads me to believe that I am not using the ~~~EQUITY properly.
> >> > >
> >> > > Any insights would be greatly appreciated.
> >> > >
> >> > > When I backtested this
> >> > >
> >> >
> >>
> >
> >
> >
> >
> > ------------------------------------
> >
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> >
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>
------------------------------------
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