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Very nice Brenton. Thank you. At first glance this looks like the best way to go. It seems to work pretty well although I see a few of my trade losses are bigger than my risk percentage. I'll need to hand calculate a few trades to figure out what's going on. More than likely it's probably something simple like a round off errors.
Best Regards,
David
--- In amibroker@xxxxxxxxxxxxxxx, Brenton Hill <bphill0105@xxx> wrote:
>
> Dave
>
> Look up SetPositionSize function
>
> *SetPositionSize( size, method )
>
> *
>
> /method/ (ARRAY) defines how 'size' is interpreted
>
> * spsValue (=1) - dollar value of size (as in previous versions)
> * spsPercentOfEquity (=2) - size expressed as percent of
> portfolio-level equity (size must be from ..100 (for regular
> accounts) or .1000 for margin accounts)
> * spsShares (=4) - size expressed in shares/contracts (size must be
> > 0 )
> * spsPercentOfPosition (=3) - size expressed as percent of currently
> open position (for SCALING IN and SCALING OUT ONLY)
> * spsNoChange (=0) - don't change previously set size for given bar
>
> the second option allows a % of portfolio-level equity, which (as far as
> I know) works out position size from the current portfolio equity during
> in a backtest.
>
> Some simple maths will allow you to convert this to trade size based on
> risking a percent of portfolio equity per trade.
>
> For any trade you want
>
> TradeSize = RiskPct*Equity/StopSize
>
> re-arrange it a bit
>
> TradeSize = RiskPct/StopSize*Equity
>
> therefore the Percent of Equity for the trade is RiskPct/StopSize
>
> So use this in the SetPostionSize call. ie
>
> SetPositionSize(RiskPct/StopSize,spsPercentOfEquity);
>
> Personally I don't believe in compounding profits in backtesting, so
> don't test this way myself, but that's another arguement.
>
> Brenton
> *
>
> *
>
> dbwyatt_1999 wrote:
> >
> >
> > 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@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.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@>
> > > To: amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.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
> > >
> >
> >
> >
> >
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> >
> > The message was checked by ESET NOD32 Antivirus.
> >
> > http://www.eset.com
>
>
>
>
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>
> The message was checked by ESET NOD32 Antivirus.
>
> http://www.eset.com
>
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