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> I want to backtest a particular strategy with $100,000 initial
> investment 100% of account balance used in each trade. I thought
> the proper language was:
> example... If C > O then buy maxsharesheld shares this bar at close;
> This however, only serves to stop the entire strategy from
> functioning.
MaxSharesHeld (assuming it's the same as MaxContractsHeld in TS4)
tells you the largest position you've held so far. At the start of
your test it will be zero. Since you're telling it to buy zero
shares, you will never have a position, and MaxSharesHeld will always
be zero.
You want something like this:
Inputs: AcctSize(100000);
Vars: PosSize(0);
PosSize = (AcctSize + NetProfit + OpenPositionProfit)
/ (BigPointValue * Close);
if C > O then buy PosSize shares at close;
AcctSize is your starting account size. NetProfit is the total
*closed* profits so far, and OpenPositionProfit is your profit on any
current trade. So the first term is your current account size
assuming you close the current trade on that bar. Divide it by the
Closing price times the BigPointValue (which should be 1 for stocks)
and you'll have the proper position size.
Gary
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