Re: [amibroker] Still - using CBT the first time, AmiBroker Email List Archive

Hello all,

I intend to use CBT to compute proprietary position size (number shares instead of percentage of equity or amount of money) as I wrote before.

Now that AB has been told (thru assistance of Bruce, Mike and TJ ) to use "number of shares", I still don´t know why it doesn´t output the proper size:

The formula for computing sharesize is as follows (entire code see further below):

sharesize=round(((Heat*bo.cash)/(y*ATRmultiplier))/250)*250

According to my data, I read for a specific day

where y=3.115 ATR multiplier=5 heat=0.1 bo.cash=1000000.00

which should result in a sharesize of 6,500. But instead, AB computes a sharesize of 6,750. Thus, I´m off by one unit of 250 lots.

Maybe it´s due to the calculation of y? Could someone please help me with this? It probably caused by the AB´s rounding but I just can´t figure it out.

If so, I will provide the data for the S&P contract I use so that the results I get could be reproduced.

Thanks very much

Markus

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/*Setting different options to clarify or override backtester settings*/

//SetOption("InitialEquity", 1000000.00);

SetOption("UsePrevBarEquityForPosSizing", True);

//SetOption("MinShares", 250);

SetOption("CommissionMode", 2); //$$ per trade

SetOption("Marginrequirement", 100);

SetOption("InterestRate",0); // account doesn´t earn interest for cash balance!

SetTradeDelays( 1, 1, 1, 1 );

//RoundLotSize = 250;

Heat= 0.1; // provided by ED

ATRMultiplier=5; //provided by ED

TC150=150;

TC15=15;

n=20; // Time Constant used in ATR lag computation

x=(n+1)/2;

/* Calculation of TC150 EMA and TC15 EMA*/

SetBarsRequired( sbrAll, sbrAll );

EMA150[0]=Close[0];

EMA15[0]=Close[0];

for( i = 1; i < BarCount; i++ )

{

EMA150[i]=EMA150[i-1]+(Close[i]-EMA150[i-1])*2/(TC150+1);

EMA15[i]=EMA15[i-1]+(Close[i]-EMA15[i-1])*2/(TC15+1);

}

/* Controlling trade price*/

BuyPrice=Open+(High-Open)/2; //i.e. 50% slippage

SellPrice=Open-(Open-Low)/2; //i.e. 50% slippage

/*Trading rules and optimization*/

Buy= Cum(1)>=25 AND Cross(EMA15, EMA150);

Sell= Cross(EMA150, EMA15);

/* Graphic output*/

Plot(EMA150, "My expon. Lag 150", colorGreen, styleLine);

Plot(EMA15, "My expon. Lag 15", colorRed, styleLine);

Plot (Close, "Bar Chart", colorBlue, styleBar);

EMA15 = Optimize("EMASlow", 50, 1, 150, 1 );

EMA150 = Optimize("EMAFast", 150, 20,400, 1);

Buy = ExRem( Buy, Sell ); // to exclude redundant signals

Sell = ExRem( Sell, Buy );// to exclude redundant signals

/* Position sizing - volatility based*/

trhelp[0]=0; // trhelp is being initialized

TRcombined[0]=0; // TRcombined is being initialized

ATRExpLag[0]=High[0]-Low[0]; // ATRExpLag is being initialized; seed value is the 1st day´s high-low range per Ed´s definition

for( i = 1; i < BarCount; i++ ) // here, the Average True Range (20 days) is coded by using a loop

{

trhelp[i]= Max(High[i]-Low[i],High[i]-Close[i-1]); //trhelp is a helping variable for calculating ATRcombined. ATR() function cannot be used.

TRcombined[i]= Max(Close[i-1]-Low[i],trhelp[i]); //TRcombined is the actual TrueRange.

ATRExpLag[i]=ATRExpLag [i-1]+ (TRcombined[i]-ATRExpLag[i-1])/x; // This is the 20-day expon. moving average of the ATR

}

ATRExpLagRounded=round(ATRExpLag*1000)/1000; //here, I round on the 3rd digit.

AddToComposite(ATRExpLagRounded, "~ATRExpLagRounded_"+Name(), "V", atcFlagDefaults | atcFlagEnableInBacktest);

Filter = GroupID() != 253; // Exclude "group 253" in which composites are being saved/

SetCustomBacktestProc("");

if (Status("action") == actionPortfolio)

{

bo = GetBacktesterObject(); // Get backtester object

bo.PreProcess(); // Do pre-processing

bo.cash=1000000; // muß das hier stehen oder im indexierten loop; dann aber wäre doch bei jeder iteration das

// initial equity UND DAMIT auch das old cash immer wieder 1000000.00!!??

My_total_equity=0;

Value_open_positions=0;

Heat=0.1;

ATRmultiplier=5;

for (i = 0; i < BarCount; i++) // Loop through all bars

{

for (sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i))

{ // Loop through all signals at this bar

// Long trades

ATRexRounded = Foreign("~ATRExpLagRounded_"+sig.Symbol, "V"); // Get symbol's AtrExpLagRounded array

ATRex = ATRexRounded[i]; // Reference a value in the array

{

if (i<=0)

y=ATRexRounded[i];

else

y=ATRexRounded[i-1];

}

if (sig.IsEntry() && sig.IsLong()) // Process long entries

{

sharesize=round(((Heat*bo.cash)/(y*ATRmultiplier))/250)*250; // i.e. computing # of shares/contracts

// sig.possize=sharesize*sig.price;

//Sharesize formula needs to be modified for stocks if lot size differs!!

sig.possize=-2000 - sharesize; // i.e. setting back # of shares into signal object!! Possize must be < "-2000"

// to mean # of shares (see "Setpositionsize")!!

bo.EnterTrade(i, sig.Symbol, True, sig.Price, sig.PosSize);

// wird hier die cash position durch Eingehen des Trades bereits autom. auf neuen Stand gebrachtoder muß das eigens codiert werden?

//Das mittels addcustometric (cash position prüfen)!

// oder müßten die Adcustommetric erst nach sämtl. long- und short signalen stehen??

trade.AddCustomMetric("initial equity", initial_equity); //zur Kontrolle und graphische Aufbereitung

trade.AddCustomMetric("Cash position", bo.cash);

trade.AddcustomMetric("Position size [shares]", trade.shares);

trade.AddCustomMetric("Position Value", sig.possize);

}

else

{ if (sig.IsExit() && sig.IsLong()) // Process long exits (cover longs)

//die position size muß doch hier nicht angegeben werden, da vom system bekannt, oder?

bo.ExitTrade(i, sig.Symbol, sig.Price);

// Achtung, daß bei Exits die Cash position korrekt ausgewiesen wird, oder ob man das manuell codieren muß

}

// bo.HandleStops(i); // Process programmed stops or applystop at this bar

} // End of for loop over signals at this bar

bo.UpdateStats(i, 1); // Update MAE/MFE stats for bar

bo.UpdateStats(i, 2); // Update stats at bar's end

} // End of for loop over bars

bo.PostProcess(); // Do post-processing

/*AddToComposite( My_total_equity, "~~~My_total_equity", "X", atcFlagEnableInPortfolio | atcFlagDefaults );

AddToComposite( trade.shares,"~~~Position size [shares]", "X", atcFlagEnableInPortfolio | atcFlagDefaults );

AddToComposite( sig.possize, "~~~Position Value", "X", atcFlagEnableInPortfolio | atcFlagDefaults );

AddToComposite( bo.cash, "~~~Cash position", "X", atcFlagEnableInPortfolio | atcFlagDefaults );

AddToComposite( Value_open_positions, "~~~Value of open positions", "X", atcFlagEnableInPortfolio | atcFlagDefaults );

}

/* Exploration output*/

AddColumn(ATRExpLagRounded,"ATRExpLagRounded",1.5);