Mike (and anyone who can help here),
As always - many thanks for your reply!
No - "Use previous bar equity for position sizing" is not activated.
Following are the very first 3 days of the backtest - starting with the initial
equity of 100,000 so one can see how "equity" develops.
I've found
Rise,
It's been a while since I last delved down to that level of detail. So take
this with a grain of salt. There are a couple of things that can be at play
here.
Fist is whether or not you have opted to use the previous bar's equity for
position sizing (AA Settings option or SetOption).
Sec
Mike,
I've used your ps formula & switched to "Detailed Log" in the BT settings.
I've chosen a trade somewhere in the middle of the backtest, so that current
equity is not identical to the initial equity.
I'm getting the following info:
Trade Date: 2004-07-27
Enter Long, T, Price: 25.34, S
Mike,
1. No, I'm not using ApplyStops. Most simple system imaginable for testing
purposes (i. e. long-only MA crossover).
2. Doesn't make a difference.
3. Thanks! Have to find out where exactly to add custom metrics code into my
mid-level CBT code. The custom metrics examples I am aware o
1. Are you using ApplyStops? One of the arguments controls when resulting funds
become available for any entries that occur on the same bar as the stop. That
might be affecting things.
2. Try adding SetBarsRequired( sbrAll, sbrAll ); to the top of your code and
see if that makes a difference.
Hi Mike,
Your math is obviously correct.
Nonetheless, I've found a small mistake in your SetPositionSize formula; the
SetPositionSize function expects the percentage value (e. g. for 50%) in the
format "50", whereas the formula you've described ("P") has a result with the
format "0.50"
No offence taken.
Check my math since I've written this out quickly. But...
You have said:
a) TotalPos = psUnits * Price
You have also said:
b) psUnits = currEquity * [(pctVolaRisk / 100) / (ATR * PointVal)]
Substituting b into a you get:
c) TotalPos = {currEquity * [(pctVolaRisk / 100) / (ATR
Mike,
Thanks for your reply (I hope I did not say anything upsetting you, as this
definitely wasn't my intention - how could I - you've helped me many times here
on the forum).
The result of formula (1) is in units, the result of formula (2) is a
percentage of equity. Thus, in formula
Hi,
Your examples are not valid. In the first you did an additional multiplication
by 100, the second you did not.
Adjusting your second example to match the first you get:
2.) Suggested non-CBT solution using spsPercentOfEquity:
SetPositionSize(Price * ( pctVolaRisk / 100 ) / ( ATR(period) *
Taking another look at the results, I've just noticed that Mike's formula would
"theoretically" work in this special case, if you alter it to
SetPositionSize( pctVolaRisk / ( ATR(period) * pointVal ), spsPercentOfEquity);
I say theoretically, as there seems to be another problem; when coding i
I've forgot to mention:
In the AB manual, Percent Volatility PS is implemented in the following way
(which is incorrect as well):
"For the end, here is an example of Tharp's ATR-based position sizing technique
coded in AFL:
TrailStopAmount = 2 * ATR( 20 );
Capital = 10; /* IMPORTANT: Set
Mike, Tomasz, anyone:
Many thanks for your reply, Mike (as well as for all the other problems you
have helped me with in the past) - but unfortunatley, I don't think it will
work that way.
While I am relatively new to AmiBroker, I believe that I know a thing or two
about proper position sizi
I believe that you will get what you want simply by using a dynamic value
passed to SetPositionSize, expressed as a percentage of equity.
AmiBroker will use the current value of equity, on a bar by bar basis, when
resolving the calculation. The situations that require CBT are when you need to
k
Mike,
Just out of interest (as I've already solved this using CBT):
Is it possible to code the following exact position sizing formula without
using CBT? I think not, as one needs the updated current equity during the
backtest (as with all PS models):
psUnits = int( currEquity * ( pctVolaR
Made a small change to the code; now the URL has changed:
http://www.amibroker.com/members/library/detail.php?id=1307
--- In amibroker@yahoogroups.com, "rise_t575" wrote:
>
>
>
> The Percent Volatility Money Manager is online now at AB's AFL Libary:
>
> http://www.amibroker.com/members/libr
SetPositionSize((Risk * 0.01) / (ContractSize * ATR()), spsPercentOfEquity);
Mike
--- In amibroker@yahoogroups.com, "pcmoxon" wrote:
>
> Hi,
>
> I am trying to write some AFL so I can backtest various trading systems for
> forex.
>
> One part of the system is to workout how much equity to use
Thanks Rise-T, very much appreciated.
Pete
--- In amibroker@yahoogroups.com, "rise_t575" wrote:
>
>
>
> The Percent Volatility Money Manager is online now at AB's AFL Libary:
>
> http://www.amibroker.com/members/library/detail.php?id=1306
>
> --- In amibroker@yahoogroups.com, "rise_t575" wr
The Percent Volatility Money Manager is online now at AB's AFL Libary:
http://www.amibroker.com/members/library/detail.php?id=1306
--- In amibroker@yahoogroups.com, "rise_t575" wrote:
>
>
>
>
>
>
> I've coded exactly what I think that you want one week ago or so as a nice
> universal out
I've coded exactly what I think that you want one week ago or so as a nice
universal out-of-the-box procedure which is very easy to include into any
system.
I'll put it into AB's AFL library after I'm done trading today.
One has to use the Custom Backtester (at least that's how I've done it)
I am trying to implement a volatility based position size. The system I am
working on is based on a 60min timeframe. I read the ATR of the daily timeframe
then use that in the calculation to determine the lots size to trade. 'Risk' is
a user input variable representing a percentage.
Pete
--- I
Just curious,
What are you trying to achieve here? Standard Percent Volatility PS?
Why do you multiply risk (how do you define risk) with 1%?
--- In amibroker@yahoogroups.com, "pcmoxon" wrote:
>
> Hi,
>
> I am trying to write some AFL so I can backtest various trading systems for
> forex.
>
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