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Hi,
Thanks for your help. Unfortunately it still doesn't work -- ValueWhen
didn't help :-(
Jacek
--- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso" <ajf1111@xxx> wrote:
>
> Would you use:
>
> MarginDeposit = Valuewhen(buy,atr(20)) * PointValue:
>
>
> ----- Original Message -----
> From: jacek.lempart
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Saturday, December 27, 2008 11:54 AM
> Subject: [amibroker] Problem with volatile position sizing
>
>
> 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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