Position Sizing

• 11/09/2016 at 10:39 PM #16263
  volpiemanuele

  EUR/USD mini

  Valore di un pip 1 eur

  Pipsize 0.0001

  Margine richiesto 50 euro (piattaforma IG)

  Vorrei creare un modo che mi calcoli la posizione (minimo sempre 1 e a crescere) ogni volta che la strategia guadagna un importo pari al margine richiesto. Ad esempio al tempo zero inizio con un capitale di 1000 euro. All’inizio compro 1 lotto. Se dopo x giorni guadagno 50 euro (capitale 1000+50) aggiungo un lotto e quindi passo a 2…se dopo x giorni il mio capitale si incrementa ancora e arrivo a 1100 compro 3 lotti…se dopo x giorni torno a 1050 compro 2 lotti…etc. etc. Se capitale risultasse inferiore a 1000 compro sempre un lotto fino a che c’e’ il capitale ovviamente.

  Ho trovato questa nel forum ma non funziona secondo me. E’ corretta ? Come devo modificarla ? Grazie

  <span class="token comment" spellcheck="true"><span class="token keyword">REM</span> Money Management</span> Capital <span class="token operator">=</span> <span class="token number">1000</span> Risk <span class="token operator">=</span> <span class="token number">0.01</span> StopLoss <span class="token operator">=</span> <span class="token number">10</span> <span class="token comment" spellcheck="true">// Could be our variable X</span> <span class="token comment" spellcheck="true"><span class="token keyword">REM</span> Calculate contracts</span> equity <span class="token operator">=</span> Capital <span class="token operator">+</span> StrategyProfit maxrisk <span class="token operator">=</span> <span class="token keyword">round</span><span class="token punctuation">(</span>equity<span class="token operator">*</span>Risk<span class="token punctuation">)</span> PositionSize <span class="token operator">=</span> <span class="token keyword">abs</span><span class="token punctuation">(</span><span class="token keyword">round</span><span class="token punctuation">(</span><span class="token punctuation">(</span>maxrisk<span class="token operator">/</span>StopLoss<span class="token punctuation">)</span><span class="token operator">/</span><span class="token keyword">PointValue</span><span class="token punctuation">)</span><span class="token operator">*</span><span class="token keyword">pipsize</span><span class="token punctuation">)</span>

  1 2 3 4 5 6 7 8 9

  <span class="token comment" spellcheck="true"><span class="token keyword">REM</span> Money Management</span> Capital <span class="token operator">=</span> <span class="token number">1000</span> Risk <span class="token operator">=</span> <span class="token number">0.01</span> StopLoss <span class="token operator">=</span> <span class="token number">10</span> <span class="token comment" spellcheck="true">// Could be our variable X</span>   <span class="token comment" spellcheck="true"><span class="token keyword">REM</span> Calculate contracts</span> equity <span class="token operator">=</span> Capital <span class="token operator">+</span> StrategyProfit maxrisk <span class="token operator">=</span> <span class="token keyword">round</span><span class="token punctuation">(</span>equity<span class="token operator">*</span>Risk<span class="token punctuation">)</span> PositionSize <span class="token operator">=</span> <span class="token keyword">abs</span><span class="token punctuation">(</span><span class="token keyword">round</span><span class="token punctuation">(</span><span class="token punctuation">(</span>maxrisk<span class="token operator">/</span>StopLoss<span class="token punctuation">)</span><span class="token operator">/</span><span class="token keyword">PointValue</span><span class="token punctuation">)</span><span class="token operator">*</span><span class="token keyword">pipsize</span><span class="token punctuation">)</span>

   

   

   

  

  volpiemanuele

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  11/09/2016 at 11:28 PM #16264
  ALE

  Ciao

  io ho trovato questa, ma non ho una strategia adeguata per testarla. Prova a vedere se riesci ad adattarla alle tue esigenze:

  PositionSize = max(1,1+ROUND((strategyprofit-1000)/50))

  1	PositionSize = max(1,1+ROUND((strategyprofit-1000)/50))

   

  

  ALE

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  11/10/2016 at 7:05 AM #16272
  volpiemanuele

  Grazie,

  dovrebbe funzionare cosi’ inserendo anche uno stop ai lotti max:

  Margin = 50

  PositionSize = max(1,1+ROUND(strategyprofit/Margin))
  if positionsize >=10 then
  Positionsize=10
  endif

  

  volpiemanuele

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  11/10/2016 at 8:24 AM #16274
  ALE

  Ottimo!

  

  ALE

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