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My Backtest is Long Only, based on Weekly Charts.
The only two statements in my AFL code regarding Position Size are:
SetPositionSize (100/3,spsPercentOfEquity);
SetPositionSize(50, IIf( Buy == sigScaleOut, spsPercentOfPosition,
spsNoChange ) );
Execution of the scaling out gives unpredictable results. An example
below shows that the first scaleout was OK (110 out of 220 open
shares of IBM scaled out on 11/5/2004). However, the next scale out
on 11/12/2004 (the next weekly bar) scales out 210 shares, when
there are only 110 shares in the position, leaving the account short
by 100 shares.
Any thoughts as to what may be going wrong?
I have lots of other examples where the scale out size is not 50% of
the current position. Am happy to share more of the code, but
thought this might be enough to generate some ideas.
Thanks,
David
------------------------------------------------
Date Information
…
8/20/2004
Entry signals(score):
Exit signals:
0 Open Positions: , Equity: 57406.1, Cash: 57406.1
8/27/2004
Entry signals(score):IBM=Buy(14.4218),
Exit signals:
Enter Long, IBM, Price: 85.23, Shares: 220, Commission: 2.2,
Rank: 14.4218, Equity 57401.7, Margin Loan: 0, Fx rate: 1
1 Open Positions: , IBM (+220), Equity: 57359.8, Cash: 38675.2
9/3/2004
Entry signals(score):
Exit signals:
1 Open Positions: , IBM (+220), Equity: 57260.8, Cash: 38697.2
…
10/29/2004
Entry signals(score):
Exit signals:
1 Open Positions: , IBM (+220), Equity: 58615.8, Cash: 38873
11/5/2004
Entry signals(score):
Exit signals:IBM=Scale-Out,
Scale-Out Long IBM, Price 89.33, Shares 110, Fx Rate 1, Total
Shares Hold 110, Exited 110, Avg. Price Entry 85.23, Exit 89.33, Avg
Fx. Rate Entry 1, Exit 1
1 Open Positions: , IBM (+110), Equity: 58985.6, Cash: 48725.9
11/12/2004
Entry signals(score):
Exit signals:IBM=Scale-Out,
Scale-Out Long IBM, Price 92.5, Shares 210, Fx Rate 1, Total
Shares Hold -100, Exited 320, Avg. Price Entry 85.23, Exit 91.4103,
Avg Fx. Rate Entry 1, Exit 1
1 Open Positions: , IBM (-100), Equity: 58656.4, Cash: 68187.4
…
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