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Hi, TJ
You suggestion is being very useful for me since I can limit positions per security, reducing risk. Very interesting because the code can be adapted for percentage or value. I only change a bit putting status inside barssince ( BarsSince( Sell0F OR Status("firstbarintest"))).
Thank a lot for the help.
Filipe
=========================
--- In amibroker@xxxxxxxxxxxxxxx, Tomasz Janeczko <groups@xxx> wrote:
>
> Hello,
>
> BarsSinceSell = BarsSince( Sell ) OR Status("firstbarintest" );
> NumberOfBuys = Sum( Buy, BarsSinceSell );
>
> Buy = Buy AND NumberOfBuys <= 4; // prevent more than 4 buys
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
>
>
> On 2009-12-13 02:19, Fadut wrote:
> > Hi, fellows. I have researched the list and checked the manual but I couldn't find the answer for this issue. So, I ask help with position sizing.
> >
> > I am back-testing some strategies. In the formula I use backtestRegularRawMulti, which allow some buy signals before a sell signal. I use PositionSize function that defines an amount of portfolio equity per trade. However, I would like to limit the sum of position value PER security and didn't discover how to do it.
> >
> > For instance: I could have PositionSize = 2%, of portfolio equity for each trade, and in some way a limit of "Sum PositionSize PerTicker" = 8%, of portfolio equity . In this way, the system will allow at most 4 trades per ticker before next sell signal.
> >
> > How to implement this limit in AFL language?
> >
> > Thanks a lot
> >
> > Filipe
> >
> >
> >
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------------------------------------
**** IMPORTANT PLEASE READ ****
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