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Has anyone tried this with stocks like the QQQ or SPY? If so, how would you change the code when profit = % rather than $ and what would be a good place to start and end for optimizing "MMdelta"?
Russ
>
> From: "ChasW" <cwwaring@xxxxxxxxxxxxxx>
> Date: 2004/08/20 Fri AM 08:37:22 EDT
> To: <omega-list@xxxxxxxxxx>
> Subject: Re: simple compounding money management code
>
> here's something to work with
>
> {*********************************************************************
> Fixed Ratio MM with decrease twice as fast. code written by Rich Estrem,
> 7/17/01.
> this code calculates the next size to trade using the Fixed Ratio Money
> Management method,
> using a rate of decrease which is twice as fast as the increase rate. To use
> this in a system,
>
> paste this code into your system and specify "size" as the number of
> contracts to trade in your buy/sell orders.
> ex: "if ... then buy size contracts at market"
> *********************************************************************}
> input:MMdelta(numeric);
> vars:size(1),pft(0),maxpft(0),maxsize(1),PLhi(0),PLlo(0),sz(1),half(0),decr(
> 0);
>
> pft=netprofit; {only use closed profits since a large MFE could cause
> errors}
>
> {calc size if pft is increasing (normal rateof adjustment):}
> if pft > maxpft then
> begin
> maxpft=pft;
> if pft >= MMdelta then
> size = intportion(0.5+SquareRoot((2*pft/MMdelta)+0.25))
> else size=1;
> if size > maxsize then maxsize=size;
> end
>
> else {calc size if in a DrawDown (2x the normal rate of adjustment)}
> if maxsize > 1 then
> begin
> if pft < MMdelta then
> begin sz=1; end
> else
> begin
> sz= intportion(0.5+SquareRoot((2*pft/MMdelta)+0.25));
> if sz < maxsize then
> begin
> decr=(maxsize-sz)*2;
> PLhi=(MMdelta*(square(sz+1-0.5) - 0.25))/2 ;
> PLlo=(MMdelta*(square(sz-0.5) - 0.25))/2 ;
> half=(PLhi + PLlo) / 2;
> if pft >= half then decr = decr - 1;
> sz=maxsize-decr;
> if sz < 1 then sz=1;
> end;
> end;
> size=sz;
> end;
>
>
> ----- Original Message -----
> From: "Bob Fulks" <bfulks@xxxxxxxxxxxx>
> To: "James Mills" <jmills10@xxxxxxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
> Sent: Friday, August 20, 2004 07:27
> Subject: Re: simple compounding money management code
>
>
> > At 08:03 AM 8/20/2004, James Mills wrote:
> >
> > >Want to add EZ language code to a system that adds 1 extra contract per
> each
> > >$x in closed system profits. Using TS4.
> >
> > If this is based upon closed system profits, I assume you are closing
> positions to change the closed system profits.
> >
> > If so, why not simply figure the trade size prior to establishing the next
> position?
> >
> >
> > Bob Fulks
> >
> >
>
>
>
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