Position size strategies

[UWKaestner@xxxxxxxxxxx (Ulrich-Wolfram Kästner)]

Position size strategies

I want to implement several strategies to calculate the position size for a
trading system (e.g. "trade the half size after a loss"). So I have to test if
the last trade was a winner or a looser and set the number of contracts to
trade according the test result.

It is easy to write the strategy with the help of the function I_ClosedEquity
in indicators. (See the example "Indicator: PSStrategies" below.)
But there seems to be no way to use the function I_ClosedEquity in systems.
(btw: why ? it can´t be a technical problem !?!)

Do YOU have any suggestion, how to code this task ?

My first attempt to code "trade the half size after a loss" in a system is LATE
one bar:

value1=TotalTrades;

if value1<>value1[1] then 
value2=NetProfit+OpenPositionProfit;

if value2<value2[1] 
then NoContracts=1
else NoContracts=2;


The second attempt works for backtesting but it is an awkward method:
Use the function I_ClosedEquity in an indicator to write the calculated number
of contracts to a file. Insert the file as data2 and use is from a system.


An other idea: The use of a DLL with which it is possible to exchange data
between studies (indicators and systems). But: I don´t have such a DLL and I
prefer a simple solution for a simple problem.





Here is the indicator example:

{Indicator: PSStrategies

4 PositionSize Strategies:
==========================

--------------------------------------------------------------------
PSStrat   Name of Strategy              Number of contracts to trade
                                        after a              after a 
                                        winner               looser
--------------------------------------------------------------------
1         "constant contracts"            2                     2
2         "double or half"                4                     1
3         "half after loss"               2                     1
4         "double after loss"             2                     4
--------------------------------------------------------------------}
 
Inputs: PSStrat(1),     {choose one of four position size strategies}
        DefContr(2);    {default number of contracts to trade}
Vars:   ActContr(0),    {actual (calculated) number of contracts}
        CE(0);          {closed equity}


CE=I_ClosedEquity;

if CE<>CE[1] then
begin
	if PSStrat=1 then 
ActContr=DefContr;

	if PSStrat=2 then	
		if CE>CE[1] then ActContr=2*DefContr
		else ActContr=0.5*DefContr;

	if PSStrat=3 then 
		if CE>CE[1] then ActContr=DefContr
		else ActContr=0.5*DefContr;

	if PSStrat=4 then 
		if CE>CE[1] then ActContr=DefContr
		else ActContr=2*DefContr;
end;

{plot ActContr if PSStrat is set to a valid value}
if PSStrat=1 or PSStrat=2 or PSStrat=3 or PSStrat=4 
then plot1(ActContr,"ActContr")
else plot2(0,"ActContr");


Best regards,
Ulrich