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It's not a stupid question at all! As far as I know, trading is not
always a matter of taking all-or-nothing decisions.
Now, let's suppose that you have an entry rule for simplicity and then
you want to exit whenever some exit conditions are met.
Suppose, for e.g. that as exit rules you set a) a profit target A, b)
a profit target B, c) a "normal" exit, d) a stop-loss exit and e) a
time-stop.
In all these exits you can set a different position, let's say that
you want 1/5 out at exit (a), 1/5 at exit (b), 1/5 at exit (c) and
100% at exits (c),(d) and (e) (where 100% means what's going to be
left after a profit A and profit B scaling out).
This sounds to me as 5 different systems. So, what I might do is
separate them and adjust my position sizing rules according to these
exits.
Let's think about it.
You have a system 1, this is the profit A target.
You build a system with 20% position size set and then as an exit rule
you set whatever happens first between profit A, (c),(d) and (e)
(Profit B is not into of course).
Then you make the same for the profit B sub-system, by setting again a
20% position and then letting an exit occur whenever a profit
B,(c),(d) or (e) is hit.
Finally you set what's left, namely 60%, to the same entry condition
plus an exit at (c),(d) or (e).
These 3 sub-systems, will finally plot to 3 different equity curves.
If you make sure that no further entry was produced in between those
exit conditions, you then have to "merge" these equity curves.
What I would do then, is take the produced trade list (I don't know
how this is done in Metastock's system tester, but I do know that you
don't even have to use it for this purpose) and carefully have them
sorted using a date filter. In an excel sheet, I could relatively
easily recreate the final equity curve.
This is an idea, I'm not sure if it is a good one. Furthermore, it's a
single market testing and I never do this.
I'm sure there are other guys here who may have better proposals :)
Regards,
mc
--- In equismetastock@xxxxxxxxxxxxxxx, "dasein_10"
<daniele_delmonte@xxx> wrote:
>
> Thank you!!!It works!!
>
> I have had just to change the number in
>
> if(trades=1,25,if(trades=2,100/3,if(trades=3,50,100)))
> in 0.25___0.5
>
>
> Just a stupid question: It's possible to have a SELL SIZE formula or
> you have to close all the positions togheter?
>
>
>
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "p_panther_73" <mchantzi@>
> wrote:
> >
> > Well, a first thought might be that you count your long entries.
> > Let's say you have a simple breakout system, like for e.g. going
> long
> > on a 20-day high, then exiting on a 10-day low.
> >
> > You could write something like this in the entry section:
> >
> > buy:=H=HHV(H,20);
> > sell:=L=LLV(L,10);
> > a:=Cum(buy);
> > b:=ValueWhen(1,sell,a);
> > trades:=a-b;
> > long:=roc(trades,1,$)>0 and trades<=4;
> > long
> >
> > Then in the exit section you could write:
> >
> > buy:=H=HHV(H,20);
> > sell:=L=LLV(L,10);
> > a:=Cum(buy);
> > b:=ValueWhen(1,sell,a);
> > trades:=a-b;
> > long:=ROC(trades,1,$)>0 and trades<=4;
> > state:=If(BarsSince(long)>BarsSince(sell),1,0);
> > state>Ref(state,-1)
> >
> > Now, in the position sizing, you could simply choose % of available
> > capital and then enter the function:
> >
> > buy:=H=HHV(H,20);sell:=L=LLV(L,10);a:=Cum(buy);b:=ValueWhen
> (1,sell,a);trades:=a-b;if(trades=1,25,if(trades=2,100/3,if
> (trades=3,50,100)))
> >
> > By creating an expert advisor, I got the correct 4 buy signals
> > (whenever they occured). Also, I've checked the position sizing
> > function and I think it's correct. BUT, I couldn't have my system
> > tester work correctly! I don't prefer using ms's system tester, so
> > guess other guys here may help you a lot more.
> >
> > Regards,
> >
> > mc
> > --- In equismetastock@xxxxxxxxxxxxxxx, "dasein_10"
> > <daniele_delmonte@> wrote:
> > >
> > > I have tried yet but it doesn't work: becouse every time meta
> take
> > > the avaible equity, so in the second position the amount is 0.75
> > > (equity avaible)*0.25=18.75% the third time is 14% and the last
> > > 10,05% for a total of 74%.
> > > Have someone other idea?
> > >
> > >
> > > --- In equismetastock@xxxxxxxxxxxxxxx, Pete Lieber <plieber@>
> > > wrote:
> > > >
> > > >
> > > > Open your system in System Editor
> > > > Click the "General" tab at top
> > > > Make sure the "Position Limit" box is checked and enter "4" in
> the
> > > box to the right of text "Limit number of simultaneous positions
> to"
> > > > Next click on "Buy Order" tab at top
> > > > In the drop-down box next to "Entry Size" select "% of
> available
> > > equity"
> > > > In the next box to the right type in ".25"
> > > > Go to "Sell Short Order" tab and repeat the previous two steps
> > > >
> > > >
> > > > To: equismetastock@xxxxxxxxxxxxxxx
> > > > From: daniele_delmonte@
> > > > Date: Mon, 9 Feb 2009 10:04:25 +0000
> > > > Subject: [EquisMetaStock Group] Postion Sizing: fixed amount
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > Hi, I don't know how create this position sizing:
> when
> > > I have the buy
> > > >
> > > > signal, I entry the position with 1/4 of equity, and add a 1/4
> > > every
> > > >
> > > > time I have a buy.
> > > >
> > > > Four progressive entries of 0.25% of equity each one.
> > > >
> > > > It's possible?
> > > >
> > > > Where I can find some material of Meta code on position sizing?
> > > >
> > > >
> > > >
> > > > Thanks
> > > >
> > > >
> > > >
> > > > Daniele
> > > >
> > >
> >
>
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