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Hello,
I have got a problem with the following piece of code:
Capital = 50000;
PositionSize = -5;
RoundLotSize = 1;
PointValue = 10;
TickSize = 1;
MarginDeposit = Ref(ATR(20), -1) * PointValue;
The problem is that MarginDeposit is using always the latest value of
ATR(20), not the one from the past, when position was opened. I wanted
to implement position sizing for futures based on volatility model, i.e:
* ATR(20) is 50 points and each point means 10 dollars or whatever
* we are going to allow volatility to be maximum of 5% of our equity
(i.e. $2500)
* $2500 / (50 * 10) = 5 --> it gives us 5 contracts which we can buy/sell
How can I force AmiBroker to use ATR(20) value for the time period
when the position is being opened? Many thanks for your help.
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