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Thanks for your effort Al. It is very
clear,
In one of my earlier posts I posted
// 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
it actually gives the same result as
your:
PositionSize = -2.0 *
IIf(Buy,BuyPrice,ShortPrice) /
stopLoss
except for short positions. Exact the same it would
be if I use: tr = IIf(Buy,(stopLoss / BuyPrice),stopLoss /
(ShortPrice));
Unfortunatelly I do not get better results this
way. Using just a simple PositionSize = -10 still gives somewhat better
results.
rgds, Ed
----- Original Message -----
Sent: Saturday, December 11, 2004 4:19
AM
Subject: Re: [amibroker] PositionSize /
Capital
ed nl wrote:
Al,
but how do you implement the risk factor
now?
ed Ed:
Let us suppose you have established your risk
as 1% (i.e., the maximum you are willing to lose on a trade). Let us also
suppose your initial equity is $100,000. So, if the stock you buy (or short)
goes down by the amount based on your system, you lose only $1000, keeping you
in the game. Now, let us say you defined your volatillty-based stop
in terms of 2*ATR(20), which you incorrectly assigned to the variable
TrailStopAmount. I say 'incorrectly' because the TrailStop in AB was designed
to mimic the Chandelier exit, which is basically a profit target type of stock
(it hangs down like a chandelier from the highest high since the trade was
initiated, if long). I don't think you want the TrailStop to be your money
management stop. Rather, the MM stop is the max stoploss, defined
as:
StopAmt = 2*ATR(20);
ApplyStop(0,2,StopAmt,1);
So, if
your stock declines by 2*ATR(20) from your entry, you exit with a 1% loss.
Let's take an example. Stock A is selling for $40/share. It's ATR(20) is
$1/shr or 2.5% of 40. Your stop amount is 2*ATR(20), which is $2/shr. How much
stock do you buy? You simply divide your risk, $1000, by 2*1, which is 500
shares. This amounts to an investment of $40/shr * 500 shrs or $20,000. All of
this can be coded in one simple line of AFL plus the 2 lines above defining
the MM stoploss:
PositionSize = -1 * BuyPrice/StopAmt;
where -1
is 1% of current equity (0.01 * 100,000 or $1000), BuyPrice = $40/shr, and
StopAmt is 2. Keep in mind that a negative sign means 1% of CURRENT
equity, which means compounded equity, not just a constant initial equity of
$100,000. If you carry through the above math with your renormalization
coefficient notation, you wind up with the exact same answer.
One more
thing. When you place your order, assuming you are trading with EOD data, you
do not know what the buyprice is until you buy the stock, which is the next
day. So, what most traders do is base their positionsize on the closing price
of the night before the entry. Therefore, to place an order in the evening to
be filled in the morning at the open, your positionsize statement would
actually be:
PositionSize = -1 * C/StopAmt;
where C is the
closing price on the night before you buy. So, if you use the code
SetTradeDelays(1,1,1,1), then the above formula is OK. However, if you use
SetTradeDelays(0,0,0,0), then you have to ref the C back a day.
This
is probably more information than you were asking about, but I hope it
helps.
Cheers,
Al Venosa
ed nl wrote:
Al,
but how do you implement the risk factor
now?
ed
-----
Original Message -----
Sent:
Friday, December 10, 2004 5:32 PM
Subject:
Re: [amibroker] PositionSize / Capital
Use -1 without the
Capital rather than 0.01:
Positionsize =
-1*BuyPrice/TrailStopAmount;
ed nl wrote:
hello,
I found this question has been asked
before but I couldn't find the answer.
If one tries to use
moneymanagement techniques I find the following example
in the
manual:
TrailStopAmount = 2 * ATR( 20 );
Capital = 100000; /*
IMPORTANT: Set it also in the Settings: Initial Equity
*/
Risk =
0.01*Capital;
PositionSize =
(Risk/TrailStopAmount)*BuyPrice;
ApplyStop( 2, 2, TrailStopAmount, 1
);
However, in this example the Capital will be constant
throughout the
backtest. I need to use the Capital value of my
portfolio as it progresses
through time. What can I
use?
thanks
rgds, Ed
Check
AmiBroker web page at:
http://www.amibroker.com/
Check
group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:
http://www.amibroker.com/
Check
group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:
http://www.amibroker.com/
Check
group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page
at:
http://www.amibroker.com/
Check
group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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