//Start code
Period = Param("ATR Period",10,1,200,1);
TotalEquity = Param("Total Equity in $",100000,1000,1000000,1000);
MinPercentEquity = Param("Min Equity in %",25,1,100,1);
MaxPercentEquity = Param("Max Equity in %",50,1,100,1);
PercentATRlookback = Param("%ATR Lookback Period (Finds Highest and Lowest %ATR over Lookback Period)",200,10,1000,10);
var1 = ATR(Period)/close; //Percent Average True Range
var2 = HHV(var1,PercentATRlookback); //Highest Percent Average True Range over lookback period
var3 = LLV(var1,PercentATRlookback); //Lowest Percent Average True Range over lookback period
atrrange = (var2 - var3); // Percent ATR range
Equity1 = TotalEquity; // $100,000
MinEquity = Equity1*MinPercentEquity/100; //$25000
MaxEquity = Equity1*MaxPercentEquity/100; //$50000
position_size = MaxEquity - (((var1 - var3)*(MaxEquity - MinEquity))/(var2 - var3));
Plot(position_size,"Position Size",colorBlack);
//End code
On 2/22/2016 12:10 PM, steve@optimusadvisory.com [amibroker] wrote:
I have been using 25% to 50% of equity position sizes with the strategy. I want to change that so that based on recent volatility in each symbol, the coding will adjust the position size accordingly. For example, if RRPIX has barely been moving, I want the position size on any new buy to greatly increase, say to 50%. On the other hand, if RRPIX's volatility has recently been crazy, I want the position size on any new buy to decrease, say to 25%. Each symbol is different, as they can be 1x, 2x or 3x leverage, so I would need different ranges for each (1x symbols maybe vary between 50%-100%; 2x symbols from 25%-50% and 3x from 12.5% to 25%, as examples).
Posted by: Alan <alan@thenorthams.us>
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