Money management and position accumulation

• 03/14/2018 at 4:28 AM #65273
  riverview

  Hello,

  I have been writing a strategy to back-test today and am getting a little stuck around the money management side with the incorrect number of shares opening for example using a 10,000 balance, 2% risk and an ATR of .912 I am expecting (RISK/ATR STOP LOSS)    100/1.824 = 548 shares. When backtesting though the position size taken is much larger.

  Money Management

  From a money management view I am trying to size positions based on a percentage of my account:

  Example Code:

  //Parameters RISK = 2 EQUITY = CAPITAL + STRATEGYPROFIT RISKCALC = (EQUITY/100)*RISK ATR = AverageTrueRange[14](close) ATRSL = (ATR*2) // Oreder Management - Shares to Purchase //POSITIONSIZE= RISKCALC/ATRSL // Open Long Position IF NOT LongOnMarket AND c1 THEN BUY POSITIONSIZE SHARES AT MARKET ENDIF

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  //Parameters   RISK = 2 EQUITY = CAPITAL + STRATEGYPROFIT RISKCALC = (EQUITY/100)*RISK ATR = AverageTrueRange[14](close) ATRSL = (ATR*2)   // Oreder Management - Shares to Purchase //POSITIONSIZE= RISKCALC/ATRSL   // Open Long Position   IF NOT LongOnMarket AND c1 THEN BUY POSITIONSIZE SHARES AT MARKET ENDIF

  Position Accumulation 

  I am looking to add to a position where a condition has been met, marking a Flag to signify if the original position has already been added to. It currently does not look to add to an existing position.

  // Parameters FLAG1 = 0 IF LONGONMARKET AND c1 AND OMFLAG1 <> 1 THEN BUY POSITIONSIZE SHARES AT MARKET OMFLAG1 = 1 ENDIF

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  // Parameters   FLAG1 = 0   IF LONGONMARKET AND c1 AND OMFLAG1 <> 1 THEN BUY POSITIONSIZE SHARES AT MARKET OMFLAG1 = 1 ENDIF

  Any help would be greatly appreciated.

  Thank you

  

  riverview

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