----- Original Message -----
Sent: Friday, February
18, 2005 9:29 AM
Subject: RE: FW:
[amibroker] Risk compounding with gains - I cannot get round it
Too bad! Unfortunately PositionSize= -xxx
is useless to me, as I use a volatility based fixed risk model, where the risk
per trade is a direct proportion of the total equity, not the Position size
itself.
Thanks a lot for you help, in any case J
Regards,
Claude
From: Stephane
Carrasset [mailto:nenapacwanfr@xxxxxxxxx]
Sent: Friday, February 18, 2005 15:01
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: FW: [amibroker] Risk
compounding with gains - I cannot get round it
yes,
you're right, it was a bad idea to use
PositionSize=Foreign("~~~EQUITY",
"C" )*0.2;
it is a bad idea to use
PositionSize=Equity()*0.2;
so no others solution that
PositionSize=-20;
> Hi Stephane,
>
>
>
> Many thanks for your help.
>
>
>
> However I suspect that the example below is
picking up the previous
equity
> line, or something like that. (can't pinpoint
exactly what's
happening!)
>
>
>
> I first run it with positionsize=-10;
works fine - several 100
trades
> taken. No problems
>
> I then run it with positionsize =
PositionSize=Foreign
("~~~EQUITY", "C"
> )*0.1;: works fine, and seems to be giving ok
results
>
> BUT
>
> I hit backtest again, and no trades are
taken, implying that
positionsize =
> 0.
>
>
>
> Do you get the same thing I am getting?
>
>
>
> Cheers,
>
> Claude
>
>
>
>
>
> _____
>
> From: Stephane Carrasset [mailto:nenapacwanfr@xxxx]
> Sent: Thursday, February 17, 2005 21:01
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: FW: [amibroker] Risk compounding
with gains - I cannot
get
> round it
>
>
>
>
> Hi claude,
>
> use
> PositionSize=Foreign("~~~EQUITY",
"C" )*0.1; // idem as
PositionSize=-
> 10;
>
> for ex run this basic system and look the
results.
> I complain that Amibroker turns less and less
obvious.
>
> stephane
>
>
> SetCustomBacktestProc("");
> function FindEquityAtDateTime( eq, dt, Value
)
> {
> result=0;
> for( i = 0; i <
BarCount ; i++ )
> {
> if( dt[ i ] == Value )
>
result=eq[i];
> }
> return result ;
> }
>
> if( Status("action") ==
actionPortfolio )
> {
> bo =
GetBacktesterObject();
>
bo.Backtest(1); // run default backtest procedure
> eq =
Foreign("~~~EQUITY", "C" );
> dt =
DateTime();
>
> for( trade =
bo.GetFirstTrade(); trade; trade = bo.GetNextTrade
> () )
> {
>
EquityAtEntry = FindEquityAtDateTime( eq, dt,
> trade.EntryDateTime );
>
trade.AddCustomMetric("Equity at entry",
> EquityAtEntry);
> }
>
> for( openpos =
bo.GetFirstOpenPos(); openpos; openpos =
> bo.GetNextOpenPos() )
> {
>
EquityAtEntry = FindEquityAtDateTime( eq, dt,
> Openpos.EntryDateTime );
>
Openpos.AddCustomMetric("Equity at entry",
> EquityAtEntry);
> }
> bo.ListTrades();
> }
>
> Buy=Cross( MACD(), Signal() );
> Sell=Cross( Signal(), MACD() );
> SetOption("InitialEquity", 10000);
>
> //PositionSize=-10;
> PositionSize=Foreign("~~~EQUITY",
"C" )*0.1; // idem as
PositionSize=-
> 10;
> //BAD Usage is 01*Equity(0,-1) -1 is default
settings of backtesting
> //it returns the decimal part of equity
>
>
>
> >
> >
> > _____
> >
> > From: Claude Caruana
[mailto:claude.caruana@xxxx]
> > Sent: Thursday, February 17, 2005 09:56
> > To: 'amibroker@xxxxxxxxxxxxxxx'
> > Subject: RE: [amibroker] Risk
compounding with gains - I cannot
get
> round it
> >
> >
> >
> > Hi all,
> >
> >
> >
> > I'm finding real problems with
implementing this so I would really
> > appreciate if there is somebody out
there with the answer!
> >
> > The key is that I want my risk to be
relative to current total
> equity, not
> > position size.
> >
> >
> >
> > I understand if I use
> >
> > Positionsize = -20 , then my position
size is 20% of my current
> equity.
> > Tried and tested - this works ok.
> >
> > BUT,
> >
> > If only I can assign a percentage of the
current equity to a
> variable other
> > than positionsize, it would solve all my
problems - something like
> >
> > CurrentEquity = XXXXX
> >
> >
> >
> > Can anybody help? I would be really
grateful!
> >
> > Thanks,
> >
> > Claude
> >
> >
> >
> >
> >
> >
> >
> > _____
> >
> > From: Claude Caruana
[mailto:claudecaruana@xxxx]
> > Sent: Tuesday, February 15, 2005 23:23
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: RE: [amibroker] Risk compounding
with gains - problem
> >
> >
> >
> > Hi again.
> >
> >
> >
> > I found the problem to be that the
equity() function will only
work
> if
> > placed after the buy/sell signals.
> >
> > Problem is that I need it before the buy
signal in order to
> calculate the
> > position size.
> >
> > Anybody can indicate a way to determine
the equity value before
the
> buy
> > signal??
> >
> > Thanks in advance for any input.
> >
> >
> >
> > Claude
> >
> >
> >
> >
> >
> > _____
> >
> > From: Claude Caruana
[mailto:claudecaruana@xxxx]
> > Sent: Tuesday, February 15, 2005 13:12
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Risk compounding
with gains - problem
> >
> >
> >
> > Hi All,
> >
> >
> >
> > Can anybody help me with this? I am
trying to achieve a position
> sizing
> > technique where half the current total
profit (assuming there is
a
> profit)
> > is re-invested into risk. Problem is
that it seems like equity(0)
> is always
> > returning 250000 and the CurrentPL
variable seems to always be 0.
> >
> >
> >
> > StartCapital = 250000;
> >
> > CapitalNow =
equity(0);
> >
> > CurrentPL =
((CapitalNow-StartCapital)/StartCapital);
> >
> >
> >
> > RiskPerTrade = 0.001+(CurrentPL/2);
> >
> > PositionSize =
((CapitalNow*RiskPerTrade) / stopPoints) *
BuyPrice;
> >
> >
> >
> >
> > What I am expecting this to do is: let
us say at one point the
> equity goes
> > up 2% from 250,000 to 255,000 - then:
> >
> >
> >
> > Current PL
= 255000-250000/250000 = 0.02
> >
> > RiskPerTrade =
0.001+(0.02/2) = 0.011
> >
> > Risk per trade now should go up from
0.001 to 0.011, but this
isn't
> > happening.
> >
> >
> >
> > I am aware I need to arrange this to
handle losses, but I first
> would like
> > to sort out this issue.
> >
> >
> >
> > Should I in fact be using equity(0) to
achieve this or should I
be
> using
> > some other function?
> >
> >
> >
> > Thanks in advance for any help :-)
> >
> >
> >
> > Claude
> >
> >
> >
> >
> >
> >
> >
> > 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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