If the concern over the large trades is liquidity (i.e. there's not enough volume to accomodate without large slippage), you can accomplish a similar position size restriction by setting the "Limit trade size as % of entry bar volume" under the "Portfolio" tab of "Settings...". Set it to a small value like 1%.
Regards, David --- In amibroker@yahoogroups.com, "Mike" <sfclimb...@...> wrote: > > One way to do it would be to write custom backtester code to iterate through > the Signal objects and override the PosSize property to not exceed whatever > value you consider to be a reasonable maximum. > > Mike > > --- In amibroker@yahoogroups.com, "kevinkee20" <kevinkee20@> wrote: > > > > Hi, > > > > I have a beginner's question on position sizing. > > > > In some of my backtests, using a fixed risk per trade of, say, 2.5% of the > > capital, the initial capital grew from $100k to more than $10 millions. > > This means my risk per trade also grew from $2k to $200k per trade in > > monetary term. Is it possible to set the position size to be of certain > > percentage of the capital, but to an absolute monetary amount if the > > capital exceeds certain number ? > > > > I tried the following but it didn't seem to work. > > > > Capital = 100000; > > PositionSize = IIf(Capital < 800000, -2.5, 20000); > > SetOption( "MaxOpenPositions", round(Capital*0.9/PositionSize) ); > > > > Thanks in advance. > > > > Kevin > > >
