Converting a Number To An Array

[ScottMcNab]

Have you tried that code snippet ? I am not sure why it would work with my afl and not yours

[ScottMcNab]

I just tried another quick test Terry

first is with:
SetPositionSize(10,spsPercentOfEquity);

this next one is using:
PS = IIf(Name()==”NUE” OR Name()==”UAA”,5,10);

SetPositionSize(Ref(PS,-1),spsPercentOfEquity);

[JulianCohen]

It works!!! Eureka

[TerryDunne]

Hi Scott,

Thanks for taking the time to try to solve my problem, but unfortunately I don’t think this idea works.

I think what happens is that you get fewer positions – you might have 20% position size versus 10% normally and ten positions but the backtest will only take five positions as the available capital runs out. I think margin has to be adjusted as well…

You’ll note that I keep saying “…I think…”. This is because I’m not able to recheck this right now, probably not until after the weekend.

My apologies – and gratitude – if I’m wrong about this but that’s my recollection.

Thanks again,

Terry

[TerryDunne]

Back at my laptop, I’m pretty sure it doesn’t work..

[ScottMcNab]

Hi Terry. Based on past experience I am probably incorrect but hopefully I can learn something here…when I run the code with a PS multiplier to reduce PS in high vola the only thing that seems to happen is the number of shares for the stock with high vola is halved….so PS goes from 10% to 5%…not from 10% to 20%….I have done other test using HVola this time and compared it to my live results (the first table posted)….the trades taken are the same but some of the stocks just have the number of shares halved

code used for PS in this example:

HVola = 100 * StDev(log(C/Ref(C,-1)),10) * sqrt(252);
PSMult = IIf(HVola>30,0.5,1);
PS = 10*PSMult;

SetPositionSize(Ref(PS,-1),spsPercentOfEquity);

[TerryDunne]

Hi Scott,

I think I just had a light bulb moment…I can’t increase position size because of the problem I gave above, but I can do what you’ve done – reduce the position size – because then I won’t run out of cash. So for back testing purposes only, I could set leverage to say 10:1 and then have criteria that reduce position size to whatever I wish to test.

I can’t wait to get home to try this!!!

Thanks for your involvement Scott, (I hope) you’ve put me on the right track!!

Terry

[JulianCohen]

Ha Ha…I couldn’t work out why it wasn’t working for you and now I realise. This happens to me all the time…something is only obvious when it’s pointed out, or when you see it for the first time.

[TerryDunne]

Yes, I’ve been walking around the office slapping my head most of the day, feeling like a complete idiot

[JulianCohen]

Did anyone video that?

[TerryDunne]

[TerryDunne]

OK (sigh) I think I still have a problem.

As a checking mechanism, I set up the code to adjust position size and then I made both settings the same as my original position size.In other words, if the ‘regular’ position size is 20%, I made the two settings 20%…this should give the exact same back test results, right?

Well, it didn’t.

Could I ask if somebody would mind doing the same exercise and seeing what result they get? I really hope I’m just continuing to be an idiot

Thanks in advance,

Terry

[ScottMcNab]

Are you able to post the code Terry? One of the stronger coders here might be able to shed some light in case we are doing something wrong

[TerryDunne]

Good idea Scott, I could do with all the help I can get. There’s only a couple of lines of code

In the Index area

MarketStrength = PercentRank(RSI(2),100);

Then in the Fixed % Of Portfolio Equity

FPAmount = IIf(MarketStrength > 50,40,20);

[ScottMcNab]

And in the test that concerns you it was ?

FPAmount = iif(MarketStrength>50,20,20)
SetPositionSize(Ref(FPAmount,-1),spsPercentOfEquity);

and the results didn’t match with ?

SetPositionSize(20,spsPercentOfEquity);

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