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Thx for the information.
I am testing some of my trading systems with Amibroker. If it will
work ok I think I will purchase the system.
Btw. Could you tell me is there anything in AFL to check number of
open positions? And the type (Long or short) of the open positions?
--- In amibroker@xxxxxxxxxxxxxxx, "Pal Anand" <palsanand@xxxx> wrote:
> I have it for Mini-Forex as:
>
> Initial equity = 1000
> Positions = Long and Short
> Periodicity = Daily
> Allow position size shrinking
> Reverse entry signal forces exit
> Allow single bar trade (same bar trade)
> MinShares = 130
> Round Lot Size = 10 (Assuming 1 contract = 10 Lots)
> Tick Size = 1
> Commissions & rates = 0 //Assuming no slippages, would set it to
0.5
> for trades > $1,000,000.00
> Annual interest rate = 0
> Margin requirement = 2
>
> LB1=5;LB2=16;
> //MaxOpenPos= LB = Optimize("MaxOpenPos",5,LB1,LB2,1); //Optimized
> using UPI
> MaxOpenPos= LB = Param("MaxOpenPos",5,LB1,LB2,1);
> SetOption("MaxOpenPositions", MaxOpenPos );
>
> MS1=130;MS2=390;
> //MinShares = Optimize("MinShares",130,MS1,MS2,100);
> MinShares = Param("MinShares",130,MS1,MS2,100);
> SetOption("MinShares", MinShares);
>
> PositionSize=-100/MaxOpenPos=-100/5=-20 Lots(-2 Contracts)
> =MaxRisk*Equity/(-MDD/2);
>
> /* Assuming MDD of 30% and verified by MCS. In reality, I limit my
> MaxRisk to 10% per trade, eventhough Optimalf% based on Win/Loss
> ratio of 96/4 comes out with a MaxRisk (Optimalf%) of 92%.
> Historical Kelly Value for MaxRisk = 0.45 */
>
> MaxRisk/trade=-2*(-300/2)/1000=0.3 = 30%
>
> //TR1 = Optimize("TotalReturn1",0.25,0.10,0.50,0.05);
> TR1 = Param("TotalReturn1",0.25,0.10,0.50,0.05);
> //TR2 = Optimize("TotalReturn2",0.45,0.10,0.50,0.05);
> TR2 = Param("TotalReturn2",0.45,0.10,0.50,0.05);
> //TR3 = Optimize("TotalReturn3",0.45,0.10,0.50,0.05);
> TR3 = Param("TotalReturn3",0.45,0.10,0.50,0.05);
> //TR4 = Optimize("TotalReturn4",0.45,0.10,0.50,0.05);
> TR4 = Param("TotalReturn4",0.45,0.10,0.50,0.05);
>
> tr13 = TR1 * (C - Ref(C, -63)) / Ref(C, -63) * 100;
> tr26 = TR2 * (C - Ref(C, -126)) / Ref(C, -126) * 100;
> tr37 = TR3 * (C - Ref(C, -189)) / Ref(C, -189) * 100;
> tr52 = TR4 * (C - Ref(C, -252)) / Ref(C, -252) * 100;
>
> RSW = tr13 + tr26 + tr37 + tr52; //Plan to experiment with Most
> Anchored Momentum (MAM) later
>
> PositionScore = RSW;
>
> Would be curious to know what you come up with. Feedback
appreciated
> from all.
>
> rgds, Pal
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "pip_hunter_2003"
> <pip_hunter_2003@xxxx> wrote:
> > How to set up the AmiBroker 4.50 std for EURUSD Forex backtesting?
> >
> > I want to buy and sell only 1 slot / trade.
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