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Hi,
I am new to Equis and I am currently doing some testing. I am having problems with the position sizing & the positions not being stopped out as I require.
I want my position sizes to be 15% of capital and have entered in .15 into the position sizes with % of available equity selected on the buy order tab. When I look at the trades taken they are more than the 15% I want. What am I missing here?
With the stops I have put in stops and stated a maximum loss but these are being exceeded. Not sure what I am doing wrong here??
Thanks in advance for your help/advice
cheers
scott
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Hi Scott, Welcome to the Forum. Have a look for Roy's (mstt) response in this thread about how the EST computes its position size: http://forum.equis.com/forums/permalink/28585/28585/ShowThread.aspx#28585times when we want a stop loss at say $10.00, but when the actual prices gap down from $10.50 to $9.00 there is no actual opportunity to exit the trade at the desired price, so the actual loses incurred are higher then predicted. Hope this helps. wabbit [:D]
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Rank: Member
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Thanks Wabbit I will see how I go..
With the sell options (or buy to cover short positions) is it possible to program a trailing stop loss ie 2 x ATR and test a system using these stops to close out positions?
Also I understand that there is slippage but the losses incurred in the tests were thousands more than would like leading me to think it is more than gapping down.. I will continue to play around..
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Rank: Advanced Member
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Yes it possible to chandelier-esque exits in the EST. You will find the Simulation.Age function useful.
Without looking at your system coding it is difficult to tell from here why the stops weren't "working".
wabbit [:D]
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Rank: Member
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Wabbit
Most formulas I find for the trailing stops require inputs which obviously makes them unusable for the system tester.
Do you know of any resources that may provide me with some examples or guidence? I have searched the forum for hours, granted there may be something on these forums but I am struggling to find it.
I have thought maybe using if statements but I am sure it will be more complex than this. I have Richard Dales advance stops and would like to replicate this in the system test. Can I use the actual formula:
ExtFml( "AdvancedStop.StopLong", entry,entryprice2-initatr*ATR(10),0,H-trailatr*ATR(10),0,0,0,0)
and reference the entry price with
entryprice:=valuewhen(1,simulation,currentpositionage=0,open)
I have tried this but can't seem to find the right combination.
Your help is greatly appreciated
Regards
Ksrt
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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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I think I may have given a bum-steer somewhere with regard to entryPrice and ValueWhen()? For whatever reason, currentpositonage is not a data array like in the rest of MS but is evaluated uniquely on each pass (maybe someone else can verify this for me, please) So to use a trailing stop and or a profit target in the EST I use something along these lines: Code:
{SELL}
{profit target}
takeProfit:=c>extfml("forum.ref",1.1*o,simulation.currentpositionage);
{trailing stop}
trailingStop:=c<extfml("forum.hhv",h-(2*atr(10)),simulation.currentpositionage);
{exit}
takeProfit or trailingStop;
Hope this helps. wabbit [:D]
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