Hi Ed,
That is the problem.
You can use almost any metric to adjust
positionsize, and it works.
The problem occurs if you want to use equity in
some form to calculate the positionsize.
I have used a more complicated form of the
code below in Excel with considerable success:
MinContracts=1;//Optimize("Min
Contracts",1,1,5,1);
MaxContracts=10;//Optimize("Max Contracts",20,5,25,1);
Margin=MarginDeposit;
PctEq=PctEq/100;
eq=Equity();
PS=Min( MaxContracts * Margin , Max( PctEq * Eq , MinContracts * Margin ));
PositionSize =
PS;
But in AB, for a while, while it trades just
one contract, it works just fine, then for some reason the equity blows up
to the millions very quickly
and has nothing to do with reality. (Gee, it would
be nice if blowing up to the millions was reality.)
-CS
----- Original Message -----
Sent: Thursday, May 28, 2009 1:04
AM
Subject: Re: [amibroker] Using Equity to
Compute Position Size
Corey,
I believe your question is answered
here:
under the paragraph "Margin deposit"
Just tested myself:
PositionSize =
-10;
SetOption("MaxOpenPositions", 3);
setting inside Amibroker (Information
Window) the Margin Deposit at 5000, Roundlotsize at 1 and initial equity
at 100000. What I find is that it indeed increases the number of positions
once enough equity is available, however it does not stick to the maximum open
positions for some reason. Not sure why,
Ed
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