Arrotondare contratti PositionSizing

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  • 07/26/2022 at 7:53 AM #197936 quote
    MauroPro
    Participant
    Veteran

    Ciao Roberto, ho ripreso un tuo codice di money management sul position sizing. Quando si arrotondano i contratti il codice passa da 1 a 1,1, da 1,1 a  1,2 …

    Riesci a modificare ROUND per passare da 1 contratto a 2 ( da 2 a 3 …) non appena il valore è superiore a 1? Grazie

    once positionSizeActivation = 1
    once DD = 500 //500 DrawDown
    once DDmultiplier = 3 //3.0 DD multiplier
    once myMargin = 0.5 //0.5% margin required by the broker
    once myCapital = (DD * DDmultiplier) + (high * MyMargin / 100)
    if intraDayBarIndex = 0 then
    myCapital = (DD * DDmultiplier) + (high * MyMargin / 100)
    endif
    once minPositionSize = 1
    once startPositionSize = 1
    once positionSize = startPositionSize
    if positionSizeActivation then
    myEquity = myCapital + strategyProfit
    myInvestment = myEquity / myCapital
    tempLot = startPositionSize * myInvestment
    tempLot = round((tempLot * 10) – 0.5) / 10
    positionSize = max(minPositionSize,tempLot)
    endif

    07/26/2022 at 10:10 AM #197948 quote
    robertogozzi
    Moderator
    Master

    Sostituisci tempLot = round((tempLot * 10) – 0.5) / 10, con tempLot = ceil(tempLot,0).

    MauroPro thanked this post
    07/26/2022 at 11:03 AM #197950 quote
    MauroPro
    Participant
    Veteran

    Grazie Robero, ho provato e funziona. Potresti inserire lo stesso arrotondamento da 1 a 2 anche in questa formula semplificata di Vonasi (che presenta altrimenti lo stesso incremento da 1 a 1.1 …)?

    MoneyManagement = 1
    Capital = 10000
    MinBetSize = 1
    Equity = Capital + StrategyProfit
    //Increasing and decreasing position size
    IF MoneyManagement = 1 THEN
    PositionSize = Max(MinBetSize, Equity * (MinBetSize/Capital))
    PositionSize = Round(PositionSize*100)
    PositionSize = PositionSize/100
    ENDIF

    07/26/2022 at 3:58 PM #197964 quote
    robertogozzi
    Moderator
    Master

    La penultima riga scrivila così:

    PositionSize = ceil(PositionSize/100,0)
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Arrotondare contratti PositionSizing


ProOrder: Trading Automatico & Backtesting

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MauroPro @mauropro Participant
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This topic contains 3 replies,
has 2 voices, and was last updated by robertogozzi
3 years, 6 months ago.

Topic Details
Forum: ProOrder: Trading Automatico & Backtesting
Language: Italian
Started: 07/26/2022
Status: Active
Attachments: No files
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