Van Tharp Position Sizing - Need Help to Correct This Filter

StockFetcher Forums · Filter Exchange · Van Tharp Position Sizing - Need Help to Correct This Filter

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davesaint86 725 posts msg #133821 - Ignore davesaint86	1/19/2017 10:55:18 AM I took the code from one of Kevin's filters. I want the filter to determine based on the 100k Account size to split the equity per position based on risk. Based on my thoughts the three positions may not add up to the full 100K but should definitely not be over the amount. So what I'm really looking for is I want to be able say up to 10 stocks based on a 100k account size and I want to see the recommended equity position in dollars and in %. Thanks. Fetcher[ apply to symlist(iwm,efa,spy) /DETERMINE THE MAXIMUM AMOUNT YOU ARE WILLING TO LOSE/ SET{ACCOUNTSIZE,100000} SET{RISKLEVEL, ACCOUNTSIZE0.010} /DETERMINE LIMIT ENTRY POINT/ SET{LIMITENTRY, MIN(CLOSE, REVERSERSI(2,5))} / VAN THARP POSITION SIZING - SET THE STOP LOSS AND SHARE SIZE BASED ON LIMIT ENTRY AND AMOUNT WILLING TO LOSE/ SET{2ATR, 2 ATR(20)} SET{STOPLOSS, LIMITENTRY - 2ATR} /DETERMINE THE NUMBER OF SHARES TO BE PURCHASED/ SET{SHARESTOBUY1, RISKLEVEL/2ATR} SET{SHARESTOBUY, ROUND(SHARESTOBUY1, 0)} /TOTAL AMOUNT OF EQUITY USED IN THIS TRADE/ SET{POSITIONAMT, LIMITENTRY * SHARESTOBUY} /PERCENT OF TRADING CAPITAL USED IN THIS TRADE/ SET{POSITIONPCT1, POSITIONAMT / ACCOUNTSIZE} SET{POSITIONPCT, POSITIONPCT1 * 100} /DETERMINE THE REWARD-TO-RISK RATIO BASED ON THE PROFIT TARGET AT RSI(2) = 90/ SET{REWARD1, REVERSERSI(2,90) - LIMITENTRY} SET{REWARD, REWARD1 * SHARESTOBUY} SET{R_R, REWARD / RISKLEVEL} /SET THE CRITERIA NECESSARY TO TRIGGER A TRADE/ ADD COLUMN RSI(2) ADD COLUMN ATR(20) {ATR(20)} ADD COLUMN SEPARATOR ADD COLUMN SHARESTOBUY {SHARES TO BUY} ADD COLUMN LIMITENTRY {LIMIT ENTRY} ADD COLUMN REVERSERSI(2,90) {PROFIT TARGET} ADD COLUMN STOPLOSS {STOP LOSS} ADD COLUMN R_R {REWARD-TO-RISK} ADD COLUMN POSITIONAMT {POSITION SIZE IN DOLLARS} ADD COLUMN POSITIONPCT {PERCENT OF TRADING EQUITY} SORT ON COLUMN 12 DESCENDING DRAW PRICE LINE AT LIMITENTRY ON PLOT PRICE DRAW PRICE LINE AT REVERSERSI(2,90) ON PLOT PRICE DRAW RSI(2) LINE AT 5 DRAW RSI(2) LINE AT 90 CHART-TIME IS 3 MONTHS ]
Kevin_in_GA 4,599 posts msg #133826 - Ignore Kevin_in_GA	1/19/2017 12:44:56 PM That's not how it works - the code is driven by the maximum acceptable loss you will take before closing a trade. The ATR(20) of each stock or ETF sets the number of shares you buy, not your account size.

StockFetcher Forums · Filter Exchange · Van Tharp Position Sizing - Need Help to Correct This Filter

<< >>Post Follow-up

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