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Dan A  
#1 Posted : Thursday, April 14, 2011 2:36:21 AM(UTC)
Dan A

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Location: Manchester, UK

Hi All, I purchased Metastock 11 just under a month ago after a long chat with a very helpful sales person, on the understanding that I could backtest my trading ideas, even on commodities, and that the system tester was incredibly versatile in being able to deal with my own unique (or maybe not!) systems. I am by no means an expert on programming systems in under a month, but my initial systems are very simple and I am confident the buy and sell rules I have programmed are correct. What I cannot seem to work out is the money management side of things - ie how much of my equity to place on a trade when a buy or sell signal is generated. From browsing the forums, it looks to me like the only real way of testing futures is with the Points Only box ticked. For me, this is no use, as the money management part is absolutely key in determining the historic success of the system. I have previously used the Advanced Charts tool available free to account holders of IG Index in the UK, and got good results, but because of optimization parameters, it can be slow. I can replicate the signal coding, but not the money management in Metastock. Am I missing something, or does Metastock not really cater for futures traders? Thanks.
wabbit  
#2 Posted : Thursday, April 14, 2011 2:51:48 AM(UTC)
wabbit

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You can use the Entry Size box in the EST to programmatically determine the position size; however the EST only looks at each symbol individually and not an entire portfolio, so if you use all of your available capital buying corn today, the EST will still buy oil tomorrow; each symbol is completely assessed throughout time before assessing the next symbol.


wabbit [:D]

Dan A  
#3 Posted : Thursday, April 14, 2011 7:08:11 AM(UTC)
Dan A

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Location: Manchester, UK

Hi Wabbit, Thank you - again! At present, I am just trying to test single symbols, and I've been trying various combinations in the Entry size box, without success. For example. if I am looking to test a Forex, say the EUR/USD pair, I would be looking to bet say 3% of my pot on each opened position - 300 on a 10,000 pot. If my stop were based on an ATR(14), I would calculate the number of units to buy as: (Simulation.AccountCash*0.03)/(atr(14)) However, this might give me a number of units to buy as 150,000 or more, which is why I get the open cost error - I think? On most spread betting sites, which is what I use generally, EUR/USD tends to be uprated by a factor of 10,000, so a rate of 1.1355 becomes 11355, and my "units to buy" becomes 1.50 per "point". Does anyone have any idea how I can express this 1.50 per point (which is of course dynamic and changes for each new buy and sell signal) in Metastock language? Thanks.
wabbit  
#4 Posted : Thursday, April 14, 2011 10:14:01 AM(UTC)
wabbit

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You don't have continuity of units in your position size algorithm:

(Simulation.AccountCash*0.03)/(atr(14))

[$] / [pip] = [$ / pip]

So you need to include the value of a pip in currency terms [$ / pip] to resolve a number of units:

[$] / ( [pip] * ( [$ / pip] ) ) = [1]

So the corrected algorithm should be something like:

Lots := (Simulation.AccountCash*0.03)/(atr(14) * PipValue) ;

where PipValue is the value of one pip in the account currency.

You will also need to account for lots (standard, mini or micro) and account leverage too.


wabbit [:D]

edit: for anyone interested in taking the concept a little further, google "buckingham pi" or "dimensionless numbers" or similar.

Dan A  
#5 Posted : Friday, April 15, 2011 2:01:45 AM(UTC)
Dan A

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Location: Manchester, UK

Thanks Wabbit - since posting, I worked out the first part of where I needed to change - the inclusion of the pip value in the equation, so am pleased you've confirmed that. The accounting for lots and leverage is on my homework list for today! I feel I am getting closer to what I want to test now, so thanks very much for your kind assistance.
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