Re: [amibroker] Testing - # of contracts

Wed, 21 Jun 2006 14:29:33 -0700

Ouch - yes this was it.. as Marcin pointed it out to me, I did not have a matching True setting in SetForeign/RestorePrices ..
tks to all
 
Paul

 
On 6/20/06, Graham <[EMAIL PROTECTED]> wrote:
you must ahve something else wrong in the code, or your settings
PositionSize = MarginDeposit;
can only ever give you one contract per trade.



--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm


On 21/06/06, PKJR <[EMAIL PROTECTED]> wrote:
Graham - I know I am one unlucky guy.. that did not work either.. I have submitted ticket to AB.. it works as planned on future contract, but for some reason if I switch to composite contract created from underlying future contracts I get between 5 and 20 contracts per position so it seems like with starting account size 50k and margin 9200 - the first position is 5 contracts.. - has anyone backtested based on composite contract created with AddToComposite?


On 6/20/06, Graham <[EMAIL PROTECTED] > wrote:
PositionSize = MarginDeposit = 1; gives you a points only test result

to buy only one contract you use
PositionSize = MarginDeposit;

You need to define the margindeposit, pointsvalue, tickszie in the symbol information (or for a single symbol you can just do it in the aFL)
Also make sure you tick the Futures in the AA settings window.
 


--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm


On 21/06/06, Terry <[EMAIL PROTECTED]> wrote:

PK,

 

Wow! Better guess right on Long or Short at 10,000:1 leverage!

 

PositionSize, when positive, refers to a fixed dollar amount. You must trade AT LEAST the size of the MarginDeposit to get any trades.

 

There are many options that can be set in code. Have you tried this one?

 

SetOption( "FuturesMode" ,True); //Requires True or False //NOTE: This is insufficient. You must also check Futures mode in AA-Settings.

 

 

Some info from the Help section:

Position sizing

This is a new feature in version 3.9. Position sizing in backtester is implemented by means of new reserved variable

PositionSize = <size array>

Now you can control dollar amount or percentage of portfolio that is invested into the trade

  • positive number define (dollar) amount that is invested into the trade for example:

    PositionSize = 1000; // invest $1000 in every trade
  • negative numbers -100..-1 define percentage:
    -100 gives 100% of current portfolio size,
    -33 gives 33% of available equity for example:

    PositionSize = -50; /* always invest only half of the current equity */
  • dynamic sizing example:

    PositionSize = - 100 + RSI();

    as RSI varies from 0..100 this will result in position depending on RSI values -> low values of RSI will result in higher percentage invested

If less than 100% of available cash is invested then the remaining amount earns interest rate as defined in the settings.

There is also a new checkbox in the AA settings window: "Allow position size shrinking" - this controls how backtester handles the situation when requested position size (via PositionSize variable) exceeds available cash: when this flag is checked the position is entered with size shinked to available cash if it is unchecked the position is not entered.

--

Terry

 

-----Original Message-----
From: amibroker@yahoogroups.com [mailto: amibroker@yahoogroups.com] On Behalf Of PKJR
Sent: Tuesday, June 20, 2006 14:39

To: amibroker@yahoogroups.com
Subject: Re: [amibroker] Testing - # of contracts

 

Tks for your help but the Point value is not up to me.. this Natural

Gas contract - specs here:

http://www.nymex.com/NG_spec.aspx

 

I used PositionSize=1 (shown on my pic) - before but that did not work

either.. the funny thing is that it works on just on underlying

contract..but not on composite created from the contract..

 

 

On 6/20/06, Terry <[EMAIL PROTECTED] > wrote:

> Okay, I see what you want now. You need to use a fixed value for

> PositionSize. AA automatically does compound testing and the number of

> contracts is varying with the amount of equity you have.

>

> Try this in your code:

>

>

> PositionSize = Param("Position Size",-100,-100,1000000,1);

> //Adjustable in Parameters

>

> Or just

>

> PositionSize = 9200;

> //Or a multiple thereof to trade more than 1 contract

>

> Maybe even this:

>

> numContracts = Param("Number of contracts to trade",1,1,100,1);

> PositionSize = 9200 * numContracts;

>

> I also question your Point value. Do you really want 10,000:1 leverage?

> --

> Terry









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