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The message "Vendor system, real profits for 3 years" included this
>
> I also decided to use a betsize selection algorithm that
> risked a percentage of my total account equity on every
> trade. But this percentage is ITALICS{not fixed} -- it
> varies as the account equity fluctuates. The risk-versus
> -equity curve for my betsize approach is shown in Figure 1,
> and the math formula behind the curve was presented in
> Club3000 News #99.04.
>
> note: The curve of Figure 1 was generated in Microsoft
> Excel, and may be viewed or downloaded from the web, at
> http://www.mjohnson.com/plots/fig1_2k01.xls
>
Club3000 sells backissues for the relatively modest
price of US $5.00; you may decide that you want to
buy backissue #99.04. It includes a complete exposition
of my betsizing approach including both my equations
and numerous test cases for debugging. I will contact
the Editor of Club3000 News to ask permission to reprint
that article here on the omega-list. It might take
a couple of weeks before I get an answer; I believe the
Editor is on Summer vacation.
Meanwhile, I'd like to give away (for free :-) the
little PERL program that implements my betsizing
algorithm. It uses the very same variable names as
the betsizing equation in #99.04 and it implements the
betsizing equation exactly. You can try it out on
the testcases in the Newsletter to see for yourself
whether it gives the same answers are were printed
back in April of 1999. [Answer: yes]
(Why PERL? Why not Omega's EasyLanguage? Because I
happen to trade a portfolio of many different commodities
out of the same account. What I need is the daily
combined total equity (including cash, closed trade
equity, and open trade equity), added up for all
commodities in the portfolio, and this isn't available
from Tradestation / EasyLanguage. TS/EL just gives
you the equity from a single "market+system", not the
total of all equity in all commodities in the Workspace
or Custom Data List.)
The filename is "calc_bet.pl" ; the extension ".pl"
indicates that it is PERL source code. Don't be
frightened, it's just ASCII text -- you can load it
into Windows Notepad or WordPad or vi or emacs and
play around with it. But of course you do need
to have the PERL language system on your machine
to actually *run* the code :-). I got PERL on
a free CD-ROM at the back of the $29 book "Teach
Yourself PERL5 in 21 Days", one of MANY books that
discuss the PERL language and that include PERL
s/w along with the text. Naturally, Unix and
Linux systems are SHIPPED with PERL already
installed, so if you're running one of those,
you're set to go right now. If you have any
problems running the code or preparing its inputs
or interpreting its output, feel free to email me.
I hope you enjoy it,
#
# Perl5 program that implements the betsize
# algorithm in Club 3000 News issue # 99.04
#
$J = 4.64e4;
$K = 1.37e6;
$L = 3.69e5;
$M = 4.7e-1;
while(<STDIN>) {
chop;
($commsymb,
$bigpoint,
$longshort,
$entry_price,
$stoploss_price,
$equity) = split(/,/);
# compute R1
if( ($longshort eq "L") || ($longshort eq "l") )
{ $R1 = ($entry_price - $stoploss_price) * $bigpoint; }
else { $R1 = ($stoploss_price - $entry_price) * $bigpoint; }
if($R1 < 0.0) { die("\nFATAL ERROR: Somehow R1 became negative\n"); }
# compute A
$temp = ($L / $equity);
$temp = ($K / $equity) - ($temp * $temp);
if($temp <= 0.0) { $B = 0.0; }
else { $B = ($J / $equity) + exp($M * log($temp)) ; }
$A = 1.0;
if($B > $A) { $A = $B; }
# compute N
$N = 0.025 * ($equity / $R1) * $A ;
# output the computed figures
printf "%-4s %6.0f %-2s %9.4f %9.4f %9.2f R1=%7.2f A=%7.4f N=%7.4f\n",
$commsymb, $bigpoint, $longshort, $entry_price,
$stoploss_price, $equity, $R1, $A, $N ;
}
--
Mark Johnson Silicon Valley, California mark@xxxxxxxxxxxx
"... The world will little note, nor long remember, what we
say here..." -Abraham Lincoln, "The Gettysburg Address"
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