I'm just trying to fully understand what you are wanting to do. These examples are just talking points.
Is this what you are looking to do?
Example:
E=Equity (assume $100,000)
R=risked amount (assume $1000)
PERIOD = ATR period (assume 10 day)
M= Multiple applied to ATR (assume 1)
C= Most recent closing price (assume $10.00)
ATR(10) = 10 day ATR (assume .5)
Number_of_shares = R/(M*ATR(10)) = $1000/(1*.5) = 2000
Position_size = Number_of_shares * C = 2000*10 = $20,000
%ofEquity = (Position_size/E)*100 = (20,000/100,000)*100 = 20%
You can adjust dollar amount risked to adjust % of Equity.
On 2/22/2016 11:15 AM, steve@optimusadvisory.com [amibroker] wrote:
Is this what you are looking to do?
Example:
E=Equity (assume $100,000)
R=risked amount (assume $1000)
PERIOD = ATR period (assume 10 day)
M= Multiple applied to ATR (assume 1)
C= Most recent closing price (assume $10.00)
ATR(10) = 10 day ATR (assume .5)
Number_of_shares = R/(M*ATR(10)) = $1000/(1*.5) = 2000
Position_size = Number_of_shares * C = 2000*10 = $20,000
%ofEquity = (Position_size/E)*100 = (20,000/100,000)*100 = 20%
You can adjust dollar amount risked to adjust % of Equity.
On 2/22/2016 11:15 AM, steve@optimusadvisory.com [amibroker] wrote:
Thanks, but I'm looking for a % of equity for each trade. Typically, I'm using 25% to 50% positions. How can I run it so that based on recent volatility, I can buy somewhere between 25% to 50% positions based on available account value?
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Posted by: Alan <alan@thenorthams.us>
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(submissions sent via other channels won't be considered)
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