fixed fraction

[ChasW <cwwaring@xxxxxxxxxxxxxx>]

I have made this a function but it wont provide a result. does it need to be
inside the system rather than a function??  ie, not getting enough profti
information?


{*********************************************************************
Fixed Ratio MM with decrease twice as fast.   code written by Rich Estrem,
7/17/01. this code calculates the next size to trade using the Fixed Ratio
Money Management method, using a rate of decrease which is twice as fast as
the increase rate. To use this in a system, paste this code into your system
and specify "size" as the number of contracts to trade in your buy/sell
orders.  ex: "if ... then buy size contracts at market"
*********************************************************************}
input:MMdelta(numeric);
vars:size(1),pft(0),maxpft(0),maxsize(1),PLhi(0),PLlo(0),sz(1),half(0),decr(
0);

pft=netprofit;     {only use closed profits since a large MFE could cause
errors}

   {calc size if pft is increasing (normal rateof adjustment):}
if pft > maxpft then
  begin
   maxpft=pft;
   if pft >= MMdelta  then
    size = intportion(0.5+SquareRoot((2*pft/MMdelta)+0.25))
   else size=1;
   if size > maxsize then maxsize=size;
  end

else   {calc size if in a DrawDown (2x the normal rate of adjustment)}
  if maxsize > 1 then
  begin
   if pft < MMdelta then
    begin sz=1; end
   else
    begin
     sz= intportion(0.5+SquareRoot((2*pft/MMdelta)+0.25));
     if sz < maxsize then
     begin
      decr=(maxsize-sz)*2;
      PLhi=(MMdelta*(square(sz+1-0.5) - 0.25))/2 ;
      PLlo=(MMdelta*(square(sz-0.5) - 0.25))/2 ;
      half=(PLhi + PLlo) / 2;
      if pft >= half then decr = decr - 1;
      sz=maxsize-decr;
      if sz < 1 then sz=1;
     end;
    end;
  Csize=sz;
  end;