Thanks James, the issue I have is not with calculating risk; it's
the fact that I need to use the custom Phase 2 backtester to get the
portfolio Equity value of each bar and most of my system logic
including my stop price calculations are currently in the regular Phase
1 backtester code. Once the backtester moves from Phase 1 to Phase 2,
my Phase 2 custom backtester code does not have access to my array
variables calculated in Phase 1 (unless I'm not doing something
correctly). I'm trying to figure out the easiest way to get my stop
prices calculated in Phase 1 into my Phase 2 custom backtester code so
that I can calculate a position size based on a percentage of the
portfolio equity and the initial risk of each trade.
I could be going about this all wrong, but my goal is simply to
calculate a quantity (i.e. number of futures contracts) for each trade
based on a percentage of the current portfolio equity divided by the
trade risk (i.e. abs(EntryPrice - StopPrice)*PointValue*TickSize).
Regards,
David
--- In amibroker@xxxxxxxxxps.com,
James <jamesmemphis@...> wrote:
>
> David,
>
> I haven't gotten to the point of selecting position size, however,
if you know your entry price and initial stop, you can use something
like the following to determine initial dollar risk:
> Prange = PHighPrice - PLowPrice;
> MaxLoss = PointValue* PRange;
> MaxLossLimit = Optimize("MaxLoss", 1000, 150, 4000, 25);
>
> In this case I am going long at PhighPrice with an initial stop a
PLowPrice and not taking the trade if the MaxLoss exceeds a certain
level. From this point you could calculate the MaxLoss as a % of
equity. Does this help?
>
> James
>
>
>
>
> ________________________________
> From: dbwyatt_1999 <dbw451@xxx>
> To: amibroker@xxxxxxxxxps.com
> Sent: Saturday, May 30, 2009 7:39:47 AM
> Subject: [amibroker] PositionSize based on Equity and Trade Risk
>
>
>
>
>
> I know setting PositionSize based on Equity and Trade Risk has
been the topic of numerous threads and writeups, but I'm missing some
understanding. I'm backtesting a portfolio of futures contracts and
would like to set the Position size of each trade based on each trade's
risk (i.e. abs(entryPrice - stopPrice)) and a percent of the current
portfolio Equity value. I understand that to get the current portfolio
Equity, I need to use the custom backtester. The custom backtester also
gives me access to all the data I need to calculate a new PosSize
except my stopPrice values.
>
> What is the easiest way to access my backtester Phase 1 stopPrice
array in the custom Phase 2 backtester for each trade so that I can
calculate a new PosSize? Using AddToComposite( ) and Foreign() does not
seem like an option because I want my individual stop values for each
instrument, not a portfolio composite of all stop values. Or maybe I
would have to create a separate composite for each instrument. Or do I
have to resort to something like writing and reading files or
developing a custom DLL to store the stopPrices between the backtester
Phase 1 and the custom backtester Phase 2? Hopefully, I'm just not
understanding something and there is an easier way. I would think that
accessing Phase 1 backtester variables in Phase 2 would be pretty
common; especially for calculating custom metrics.
>
> Thanks for any suggestions or insights.
>
> Regards,
>
> David
>