Position Sizing

[Nick Radge]

Anyone know if its possible to do position sizing in a backtest using yesterday close rather than the next days open?

[LeeDanello]

Use the ref function or Ref(C,-1) = yesterdays close where -1 is the shift relative to the last close in the test

[ScottMcNab]

Would this not need access to the portfolio equity during the backtest ? I did not think this was possible.

[ZachSwann]

I am not 100% sure if this is relevant bit beyond me at the moment but I found this when I poking around looking for something else
http://www.amibroker.com/docs/Houston2.pdf

[JulianCohen]

That was a good find Zach. Thanks

[ZachSwann]

Has anyone already coded position sizing for rotational systems
For example if ranked
1st 30%
2nd 20%
3rd 10%
etc
Have been looking in this link http://www.amibroker.com/docs/Houston2.pdf
I think excluding of top positions is a way to figure out the rank as 1,2,3,4 etc but its still a bit of a foreign language to me at the moment

[ZachSwann]

I answered most of my own question but any ideas how to Param sig.PosSize??
//=================================================================================
//Backtesting Parameters
//=================================================================================
posqty = Param(“# Positions”,20,1,100,1);
Eq = Param(“Initial Equity”,100000,1,10000000,1);
SetOption(“InitialEquity”,Eq);
SetOption(“MaxOpenPositions”,posqty);
SetOption(“UsePrevBarEquityForPosSizing”,True);
SetOption(“AccountMargin”,100);
SetTradeDelays(0,0,0,0);
SetOption(“UseCustomBacktestProc”, True );

if( Status(“action”) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
for( bar = 0; bar < BarCount; bar++ )
{
Cnt = 1;

for( sig = bo.GetFirstSignal( bar ); sig; sig = bo.GetNextSignal( bar ) ) // Cnt Ends up being the rank
{
if( Cnt == 1) sig.PosSize = -20; // sig.PosSize If -20 is 20% of portfolio If +20 is $20
if( Cnt == 2) sig.PosSize = -5; // -param wouldn’t work for me not sure why
if( Cnt == 3) sig.PosSize = -5;
if( Cnt == 4) sig.PosSize = -5;
if( Cnt == 5) sig.PosSize = -5;
if( Cnt == 6) sig.PosSize = -5;
if( Cnt == 7) sig.PosSize = -5;
if( Cnt == sig.PosSize = -5;
if( Cnt == 9) sig.PosSize = -5;
if( Cnt == 10) sig.PosSize = -5;
if( Cnt == 11) sig.PosSize = -5;
if( Cnt == 12) sig.PosSize = -5;
if( Cnt == 13) sig.PosSize = -5;
if( Cnt == 14) sig.PosSize = -5;
if( Cnt == 15) sig.PosSize = -5;
if( Cnt == 16) sig.PosSize = -5;
if( Cnt == 17) sig.PosSize = -2.5;
if( Cnt == 18) sig.PosSize = -2.5;
if( Cnt == 19) sig.PosSize = -2.5;
if( Cnt >= 20) sig.PosSize = -2.5;
Cnt++;
}
bo.ProcessTradeSignals( bar );
}
bo.PostProcess();
}

wr = Param(“Worst Rank”,20,1,20,1);
SetBacktestMode(backtestRotational);
SetOption(“WorstRankHeld”,wr);
EOM = Month() != Ref(Month(),-1);//First trading day of the month
score = Ref(Rank,-1);//score is the rotational criteria
Score = IIf(LE,score,0);
PositionScore = IIf(Year()>=1985 AND EOM,Score,scoreNoRotate);
//

---

[SaidBitar]

Zach Swann wrote:

Has anyone already coded position sizing for rotational systems
For example if ranked
1st 30%
2nd 20%
3rd 10%
etc
Have been looking in this link http://www.amibroker.com/docs/Houston2.pdf
I think excluding of top positions is a way to figure out the rank as 1,2,3,4 etc but its still a bit of a foreign language to me at the moment

it is doable i did not try it before i will check it if i have some time this week and will post the code

[SaidBitar]

Zach Swann wrote:

I answered most of my own question but any ideas how to Param sig.PosSize??
//=================================================================================
//Backtesting Parameters
//=================================================================================
posqty = Param(“# Positions”,20,1,100,1);
Eq = Param(“Initial Equity”,100000,1,10000000,1);
SetOption(“InitialEquity”,Eq);
SetOption(“MaxOpenPositions”,posqty);
SetOption(“UsePrevBarEquityForPosSizing”,True);
SetOption(“AccountMargin”,100);
SetTradeDelays(0,0,0,0);
SetOption(“UseCustomBacktestProc”, True );

if( Status(“action”) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
for( bar = 0; bar < BarCount; bar++ )
{
Cnt = 1;

for( sig = bo.GetFirstSignal( bar ); sig; sig = bo.GetNextSignal( bar ) ) // Cnt Ends up being the rank
{
if( Cnt == 1) sig.PosSize = -20; // sig.PosSize If -20 is 20% of portfolio If +20 is $20
if( Cnt == 2) sig.PosSize = -5; // -param wouldn’t work for me not sure why
if( Cnt == 3) sig.PosSize = -5;
if( Cnt == 4) sig.PosSize = -5;
if( Cnt == 5) sig.PosSize = -5;
if( Cnt == 6) sig.PosSize = -5;
if( Cnt == 7) sig.PosSize = -5;
if( Cnt == sig.PosSize = -5;
if( Cnt == 9) sig.PosSize = -5;
if( Cnt == 10) sig.PosSize = -5;
if( Cnt == 11) sig.PosSize = -5;
if( Cnt == 12) sig.PosSize = -5;
if( Cnt == 13) sig.PosSize = -5;
if( Cnt == 14) sig.PosSize = -5;
if( Cnt == 15) sig.PosSize = -5;
if( Cnt == 16) sig.PosSize = -5;
if( Cnt == 17) sig.PosSize = -2.5;
if( Cnt == 18) sig.PosSize = -2.5;
if( Cnt == 19) sig.PosSize = -2.5;
if( Cnt >= 20) sig.PosSize = -2.5;
Cnt++;
}
bo.ProcessTradeSignals( bar );
}
bo.PostProcess();
}

wr = Param(“Worst Rank”,20,1,20,1);
SetBacktestMode(backtestRotational);
SetOption(“WorstRankHeld”,wr);
EOM = Month() != Ref(Month(),-1);//First trading day of the month
score = Ref(Rank,-1);//score is the rotational criteria
Score = IIf(LE,score,0);
PositionScore = IIf(Year()>=1985 AND EOM,Score,scoreNoRotate);
//

---

not sure this is the way
i used ranking before but it should look different
i believe you need to use StaticVarGenerateRanks

[ZachSwann]

StaticVarGenerateRanks I didn’t even know that existed.
That would be before all the backtesting code I gather?

[SaidBitar]

https://www.amibroker.com/guide/afl/staticvargenerateranks.html

this can give you idea how to do it
in short you put the conditions then you put the part for the custom backtest it will be used to generate the rank and later to read the rank based on the rank you set the position size

[ZachSwann]

I have had a bit of a play with it and this is what I don’t know
symlist part is there an easy way to get a whole watchlist as a string?
The static variable below I think it puts them in order and returns a string. I think you create a loop similar to Cnt loop in a previous post but I am not sure what to use instead of getfirstsignal and getnextsignal because if that is used I can’t use an array which I want too.

symlist = “C,CAT,DD,GE,IBM,INTC,MSFT”;

// delete static variables – DO NOT forget the asterisk (wildcard) at the end
StaticVarRemove( “ValuesToSort*” );

// fill input static arrays

for ( i = 0; ( sym = StrExtract( symlist, i ) ) != “”; i++ )
{
SetForeign( sym );
Value = ROC( C, 10 );
RestorePriceArrays();
StaticVarSet( “ValuesToSort” + sym, Value );
}

// perform ranking
StaticVarGenerateRanks( “rank”, “ValuesToSort”, 0, 1224 ); // normal rank mode

// read ranking
rk = 0;
for ( i = 0; ( sym = StrExtract( symlist, i ) ) != “”; i++ )
{
StaticVarGet( “RankValuesToSort” + sym );
rk++;
}
//=================================================================================
_SECTION_END();

This is current code doesn’t work but maybe I am not seeing something dead simple

[SaidBitar]

In order to read watchlist you can use the following function “GetCategorySymbols” and you need to assign the watchlist ID. I remember that there was even easier way that will take the selected watchlist but i can not remember it now.

Code:

symlist = GetCategorySymbols(categoryWatchlist ,18,0);

for me watchlist number 18 is the sp500 current and past

[SaidBitar]

there is still an error it is driving me crazy because i can plot it but the backtest breaks.
i will try to find it but here is what i had in mind

Code:

_SECTION_BEGIN (“Index Filter”);
IndexSwitch = ParamToggle(“Index Filter”,”On|Off”,0);
“”;
“Foreign Ticker Symbol” ;
IndexCode = ParamStr(“Index Code”,”$SPX”);
Index = Foreign(IndexCode,”C”);
IndMA = Param(“Index Filter MA Period”,200,10,300,10);
IndexFilter = Index > MA(Index,IndMA);
IndexFilt = IIf(IndexSwitch,1,IndexFilter);

IndexFilterDown = Index < MA(Index,IndMA); _SECTION_END(); posqty = Param("# Positions",20,1,100,1); Eq = Param("Initial Equity",100000,1,10000000,1); SetOption("InitialEquity",Eq); SetOption("AllowPositionShrinking",True); SetOption("MaxOpenPositions",posqty); SetOption("UsePrevBarEquityForPosSizing",True); SetOption("AccountMargin",100); SetTradeDelays(0,0,0,0); SetOption("UseCustomBacktestProc", True ); wlnum = GetOption( "FilterIncludeWatchlist" ); List = CategoryGetSymbols( categoryWatchlist, wlnum ) ; StaticVarRemove( "rank*" ); StaticVarRemove( "values*" ); categoryList = ","; for( n = 0; ( symbol = StrExtract( List, n ) ) != ""; n++ ) { SetForeign( symbol ); values = Roc( Close, 252 ); RestorePriceArrays(); StaticVarSet( "ValuesToSort" + symbol, values ); } StaticVarGenerateRanks( "rank", "ValuesToSort", 0, 1224 ); Symbol = Name(); value = StaticVarGet( "ValuesToSort" + name() ); rank = StaticVarGet( "RankValuesToSort" + name() ); PositionSize = IIf(rank == 1,-20, IIf(rank ==2, -10,IIf( rank > 2 AND rank <=10,-5,-2.5))); wr = Param("Worst Rank",20,1,20,1); SetBacktestMode(backtestRotational); SetOption("WorstRankHeld",wr); LE = Ref(ROC(C,252),-1) > 0 AND IndexFilt AND Ref(rank,-1) <= wr; EOM = Month() != Ref(Month(),-1); score = Ref(ROC(C,252),-1); Score = IIf(LE,score,0); PositionScore = IIf(Year()>=1985 AND EOM,Score,scoreNoRotate);

[SaidBitar]

Said Bitar wrote:

In order to read watchlist you can use the following function “GetCategorySymbols” and you need to assign the watchlist ID. I remember that there was even easier way that will take the selected watchlist but i can not remember it now.

Code:

symlist = GetCategorySymbols(categoryWatchlist ,18,0);

for me watchlist number 18 is the sp500 current and past

here it is
wlnum = GetOption( “FilterIncludeWatchlist” );
List = CategoryGetSymbols( categoryWatchlist, wlnum ) ;

[Author]

Posts