Re: [amibroker] Using Equity to Compute Position Size

["Corey Saxe" <cesaxe@xxxxxxx>]

Hi Graham,

 

Thanks for responding.

 

Seems that AFL would have been upgraded since then to allow more than

blindly applying a constant percentage or dollar amount for adjusting position size in backtesting or optimizing.

 

I should have included that I am testing on a single futures contract and EOD only.

No commissions. Keeping it as simple as possible.

 

By "custom backtest code", do you mean, using

 

SetCustomBacktestProc(""); and bo = GetBacktesterObject(); stuff?

Thanks,

-CS 

 

----- Original Message -----

From: Graham

To: amibroker@xxxxxxxxxxxxxxx

Sent: Thursday, May 28, 2009 12:56 AM

Subject: Re: [amibroker] Using Equity to Compute Position Size

The equity is only available during a backtest.
The only way to pass a positionsize based on equity is to use a
percentage value either eg 10% posisiotnsize = -10; or
setpositionsize( 10, spsPercentOfEquity );
You cannot mix types of sizing in the afl. to do this you must use the
custom backtest code to change the trade size.

The only time you can refer to a type of equity is if the test is a
single symbol, and the equity function calculates basic equity over
the entire history for that single symbol. I am not sure if it
includes the commissions. This is not a backtest equity.

--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com

.

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