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Alex: Wouldn't "current equity" also be more accurate if OpenPositionProfit
was also added in? As I understand it, NetProfit includes only closed
positions. Also, Pablo, remember that TS cannot track portfolios. Thus
total account equity won't be calculated for multi- futures accounts.
Regards, Jack.
----- Original Message -----
From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Friday, June 23, 2006 1:51 PM
Subject: Re: Position Sizing
> Pablo wrote:
> >I'm trying to code the following:
> >"Size position so that risk to protective stop = 10% of current equity"
>
> I don't know how you would size a position so that the stop is 10%
> of your equity. You can size a position relative to equity, or size
> your stop relative to equity, but not both.
>
> Equity is simply startquity + NetProfit, where startequity is your
> own value and NetProfit is Tradestation's internal number. A 10%
> stop based on current equity would be
> 0.1 * (startequity + NetProfit).
>
> A position size that's 10% of your equity is
> IntPortion((startequity + NetProfit) * 0.1 / margin + 0.5)
>
> --
> ,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
> // +__> Director of Research and Development
> // \ Unicorn Research Corporation -- http://unicorn.us.com
> // __) HTML FORMATTED MAIL SENT HERE WILL BE REJECTED AS SPAM.
>
>
>
> --
>
>
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