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Joined: 3/16/2009(UTC)
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Location: Sydney
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Hi
Not sure if I am going up the wrong path or whether this is possible but from the testing I have been completing I am seeing my loosing trades loose more money than I would like.
The trades are stopping out as required (using a 2*ATR stop) but the problem is the size of the trades are much greater than I would trade & they therefore loose more of my capital than I would like. Ie it is entering trades at 50k instead of 10k which means I am loosing 5 times my capital than I’d like.
Even when I am putting in a .15 as the % of capital – it still enters into larger trades.. This may solve part of my problem but I still don’t think that will enter the trade according to my rules.
This leads me to ask, can the EST handle position sizing? I would like it to something like this:
(sorry if the language/structure is not correct but I wanted to understand if this was possible before I attempt to create it & I am still learning the correct formats)
{Adjust Position size to reflect trades that would be taken}
PurchasePrice:= currentSimulationage {Purchase price when trade is initiated}
MaxRisked:= currentcapital*2% {available capital taken x by risk tolerance}
MaxPositionSize:= currentcapital*15% {available capital x by position size %}
InitialStop:= currentsimulationage-(currentsimulationATR*2) {Purchase price - (2 x current ATR)}
PositionSize1:= maxrisked/(purchaseprice-initialstop) {Calculate qty of shares to purchase}
PositionValue1:= positionsize1*purchaseprice {determine value of trade to determine if it meets requirements}
PositionSize2:= MaxPositionSize/PurchasePrice {Alternative Calculation of qty of shares to purchase}
PositionValue2:= PositionSize2*PurchasePrice {Alternative Value of trade if Position1 is not acceptable}
QtyPurchased:= if(PositionValue1<MaxPositionSize,(PositionSize1),(PositionSize2) {formula to determine which amount of shares to purchase for the trade}
{Entry Qty}
QtyPurchased
If you can let me know if something like this is possible or an alternative that would be great.
Thanks
Ksrt
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Rank: Advanced Member
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Joined: 10/28/2004(UTC)
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Location: Perth, Western Australia
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Something like? Code:
risk:=0.02;
atrPeriods:=10;
lots1:=(simulation.accountcash * risk) / (2*ATR(atrPeriods));
lots2:=simulation.accountcash / close;
int(min(lots1,lots2));
wabbit [:D]
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Rank: Member
Groups: Registered, Registered Users, Subscribers
Joined: 3/16/2009(UTC)
Posts: 11
Location: Sydney
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I am not at home so unfortunately cant test..
That is seems close but there are times when the minimum would not be taken because the higher qty may fit as it may fit into my rules.
that is why I need to compare both qty's to my risk tolerance and the max position size as if the higher qty fits into this it should be taken over the minimum.. .
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers, Unverified Users
Joined: 10/28/2004(UTC)
Posts: 3,111
Location: Perth, Western Australia
Was thanked: 16 time(s) in 16 post(s)
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You cannot afford the max value... hence the second rule.
If the ATR was really small then the number of shares which could be purchased would be very large. Purchasing this number of shares would exceed the available capital, so you could only spend 100% of the capital to buy a smaller parcel.
wabbit [:D]
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