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sorry just read the post again
to not take a trade you need to put the conditioninto your buy statement
assuming you already calculated the positionsize
Buy = buyconditions and positionsize>0.07*ref(Equity(),-1) and
positionsize<0.1*ref(Equity(),-1);
I use ref(equity(),-1) because on the bar the buy occurs the equity
will be smaller by the amount of the buy
On 8/8/05, Graham <kavemanperth@xxxxxxxxx> wrote:
> to put some numbers against things
> PositionSize = Min( Max( equity()*0.07,
> (Risk/TrailStopAmount)*BuyPrice ), equity()*01 );
>
> equity = 100
> E*0.07 = 7
> E*0.1 = 10
>
> say your risk pos sizing is 9
> Min( Max( 7, 9 ), 10 ); = min( 9, 10 ) = 9
> now say 6
> Min( Max( 7, 6 ), 10 ); = min( 7, 10 ) = 7
> now say 12
> Min( Max( 7, 12 ), 10 ); = min( 12, 10 ) = 10
>
> does this make it clearer?
>
>
> On 8/8/05, rangaroopa2000 <rangaroopa2000@xxxxxxxxxxxx> wrote:
> > Thanks for your help Graham,
> >
> > Just been trying to get my head around the min and max and what they
> > are doing. I didn't know you could use Equity() in there either, thanks.
> >
> > I've re-written the rules below so they are a bit clearer. The reason
> > is because I don't think the code would exclude the trade if the risk
> > based PS is below 7% of capital.
> >
> > a) if the risk based PS is > 10% then use a trade size of 10%.
> > b) if the risk based PS is < 10% and > 7% then use risk based PS
> > c) if the risk based PS is < 7% then do not take the trade.
> >
> > So if:
> >
> > MinTrade = equity() * 0.07;
> > MaxTrade = equity() * 0.10;
> > riskPS = (Risk / TrailStopAmount) * BuyPrice;
> >
> > then:
> >
> > a = min( MaxTrade, riskPS)
> > b = iif( riskPS < MaxTrade AND riskPS > MinTrade, riskPS)
> > c = ???
> >
> > Regards, Rangar
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
> > > try this, it may even work
> > > PositionSize = Min( Max( equity()*0.07,
> > > (Risk/TrailStopAmount)*BuyPrice ), equity()*01 );
> > >
> > > Using the above, I would also like to have a maximum trade size of 10%
> > > of capital AND a minimum trade size of 7% of capital.
> > >
> > > On 8/8/05, rangaroopa2000 <rangaroopa2000@xxxx> wrote:
> > > > Hi,
> > > >
> > > > Could someone help me out with position sizing please?
> > > >
> > > > I'm using ATR-based position sizing:
> > > >
> > > > Risk = 0.01*Capital;
> > > > PositionSize = (Risk/TrailStopAmount)*BuyPrice;
> > > >
> > > > Using the above, I would also like to have a maximum trade size of 10%
> > > > of capital AND a minimum trade size of 7% of capital.
> > > >
> > > > For example:
> > > >
> > > > a) if the risk based PS is > 10% then use a trade size of 10%.
> > > > b) if the risk based PS is < 7% then exclude the trade.
> > > >
> > > > Thanks, Rangar
> >
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
>
>
> --
> 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
>
--
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
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