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Re: [amibroker] Re: PositionSize / Capital

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thanks Chris,
 
I will have a look. I see that you use Equity().  So that appears it can be used in PositionScore calculations. The test that I did it seemed it only used the first element of Equity(). But I have to look at it closer,
 
will be back on this topic later,
 
I wanted to build in this: http://www.isigmasystems.com/mm.html
 
rgds, ed
----- Original Message -----
From: Christoper
Sent: Friday, December 10, 2004 6:21 PM
Subject: [amibroker] Re: PositionSize / Capital


Ed - I use Ehler's SafeZone Stop... here's my stop stuff. This works
for me:
----------------------------------------
///////////////////////
// - Position Sizing
// - Stop Setting
///////////////////////
SZLookback = 10;
SZDownMultiple = 2;//Optimize("Multiple", 5.9, 1, 7, 1);

SZDownPenetration = IIf( Ref(L, -1) > L, Ref(L, -1) - L, 0);
SZDownSum = Sum(SZDownPenetration, SZLookback);
SZDownPenetrationFlag = IIf( SZDownPenetration != 0, 1, 0);
SZDownNumber = Sum(SZDownPenetrationFlag, SZLookback);

SZDownAverage = SZDownSum/SZDownNumber;
SZStop = Ref(L,-1) - SZDownMultiple * Ref(SZDownAverage, -1);

// Determine # of Shares to buy
RiskAmount = Equity() * 0.01;
NumShares = IIf(C-SzStop>1, int(RiskAmount / (C - SZStop)), Equity()/
(3*C));
PositionSize = NumShares * C;
-----------------------------------------
--- In amibroker@xxxxxxxxxxxxxxx, "ed nl" <ed2000nl@xxxx> wrote:
> Al,
>
> but how do you implement the risk factor now?
>
> ed
>   ----- Original Message -----
>   From: Al Venosa
>   To: amibroker@xxxxxxxxxxxxxxx
>   Sent: Friday, December 10, 2004 5:32 PM
>   Subject: Re: [amibroker] PositionSize / Capital
>
>
>   Use -1 without the Capital rather than 0.01:
>
>   Positionsize = -1*BuyPrice/TrailStopAmount;
>
>   ed nl wrote:
>     hello,
>
>     I found this question has been asked before but I couldn't find
the answer.
>     If one tries to use moneymanagement techniques I find the
following example
>     in the manual:
>
>     TrailStopAmount = 2 * ATR( 20 );
>     Capital = 100000; /* IMPORTANT: Set it also in the Settings:
Initial Equity
>     */
>     Risk = 0.01*Capital;
>     PositionSize = (Risk/TrailStopAmount)*BuyPrice;
>     ApplyStop( 2, 2, TrailStopAmount, 1 );
>
>     However, in this example the Capital will be constant
throughout the
>     backtest.  I need to use the Capital value of my portfolio as
it progresses
>     through time. What can I use?
>
>     thanks
>
>     rgds, Ed
>
>
>
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>
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http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
>
>
>   Check AmiBroker web page at:
>   http://www.amibroker.com/
>
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http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
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