Re: [amibroker] Re: PositionSize / Capital

["ed nl" <ed2000nl@xxxxxxx>]

Chris,

 

I believe I solved the example in the article (http://www.isigmasystems.com/mm.html). I use percentages however:

 

// money management block

stopLoss = Ref(bbb*ATR(20),-1);
// trade risk
tr = IIf(Buy,(stopLoss / BuyPrice),stopLoss / (ShortPrice + stopLoss));
// renormalisation coefficient
rc = 0.02 / tr;
// positionsize
PositionSize = rc * -100

 

 

ed

 

 

 

----- Original Message -----

From: ed nl

To: amibroker@xxxxxxxxxxxxxxx

Sent: Friday, December 10, 2004 7:12 PM

Subject: Re: [amibroker] Re: PositionSize / Capital

Chris,

What I did is made an AddToComposite of it and then plot it. Then I get a
straight line with the value of the starting capital:

Capital = Equity();
AddToComposite(Capital,"~ttt1","C",atcFlagEnableInBacktest);
ttt1 = Foreign("~ttt1", "C");
Plot(ttt1,"",colorBrightGreen,1);

I think it is a right way to test this but I am still looking into it,

rgds, Ed



----- Original Message -----
From: "Christoper" <turkey@xxxxxxxxxxxxxxx>
To: <ed2000nl@xxxxxxx>
Sent: Friday, December 10, 2004 7:00 PM
Subject: Re: [amibroker] Re: PositionSize / Capital


>
> Hey Ed - so how are you verifying the constant capital? via the
> Equity cahrt? or manually calculating the positions with a detailed
> trade log?
>
> I ask b/c, you know I've never really *manually* verfied that my
> positions are changing baesd on equity size.  I just saw that all my
> equity is consistantly being used throughout the backtest range (via
> equity chart) so I just assumed my positions are ok.
>
> - chris
>
>
>
>


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