SetPositionSize
- set trade size

Trading system toolbox
(AFL 2.70)


SYNTAX SetPositionSize( size, method )
RETURNS ARRAY
FUNCTION This function allows to control trade (position) size in four different ways, depending on 'method' parameter.

Parameters:

size (ARRAY) defines desired trade size

method (ARRAY) defines how 'size' is interpreted

  • spsValue (=1) - dollar value of size (as in previous versions)
  • spsPercentOfEquity (=2) - size expressed as percent of portfolio-level equity (size must be from ..100 (for regular accounts) or .1000 for margin accounts)
  • spsShares (=4) - size expressed in shares/contracts (size must be > 0 )
  • spsPercentOfPosition (=3) - size expressed as percent of currently open position (for SCALING IN and SCALING OUT ONLY)
  • spsNoChange (=0) - don't change previously set size for given bar

New SetPositionSize function automatically encodes new methods of expressing position size into old "positionsize" variable as follows:

  • values below -2000 encode share count,
  • values between -2000 and -1000 encode % of current position
  • values between -1000 and 0 encode % of portfolio equity
  • values above 0 encode dollar value

Although it is possible to assign these values directly to old-style PositionSize variable, new code should use SetPositionSize function for clarity.

EXAMPLE For example to liquidate 50% of position simply use

SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut ) );

Special value spsNoChange (=0) means don't change previously set size for given bar (allows to write constructs like that):

SetPositionSize( 100, spsShares ); // 100 shares by default
SetPositionSize( 50, IIf( Buy == sigScaleOut, spsPercentOfPosition, spsNoChange ) ); // for scale-out use 50% of current position size

Example of code that exits 50% on first profit target, 50% on next profit target and everything at trailing stop:

Buy = Cross( MA( C, 10 ), MA( C, 50 ) );
Sell = 0;

// the system will exit
// 50% of position if FIRST PROFIT TARGET stop is hit
// 50% of position is SECOND PROFIT TARGET stop is hit
// 100% of position if TRAILING STOP is hit

FirstProfitTarget =
10; // profit
SecondProfitTarget =
20; // in percent
TrailingStop =
10; // also in percent

priceatbuy=
0;
highsincebuy =
0;

exit =
0;

for( i = 0; i < BarCount; i++ )
{
  
if( priceatbuy == 0 AND Buy[ i ] )
     {
       priceatbuy =
BuyPrice[ i ];
     }

  
if( priceatbuy > 0 )
     {
       highsincebuy =
Max( High[ i ], highsincebuy );

      
if( exit == 0 AND
          
High[ i ] >= ( 1 + FirstProfitTarget * 0.01 ) * priceatbuy )
       {
        
// first profit target hit - scale-out
         exit =
1;
        
Buy[ i ] = sigScaleOut;
       }

      
if( exit == 1 AND
          
High[ i ] >= ( 1 + SecondProfitTarget * 0.01 ) * priceatbuy )
       {
        
// second profit target hit - exit
         exit =
2;
        
SellPrice[ i ] = Max( Open[ i ], ( 1 + SecondProfitTarget * 0.01 ) * priceatbuy );
       }

      
if( Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy )
       {
        
// trailing stop hit - exit
         exit =
3;    
        
SellPrice[ i ] = Min( Open[ i ], ( 1 - TrailingStop * 0.01 ) * highsincebuy );
       }

      
if( exit >= 2 )
       {
        
Buy[ i ] = 0;
        
Sell[ i ] = exit + 1; // mark appropriate exit code
         exit =
0;
         priceatbuy =
0; // reset price
         highsincebuy =
0;
       }
     }
}

SetPositionSize( 50, spsPercentOfEquity );
SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut ) ); // scale out 50% of position

SEE ALSO

References:

The SetPositionSize function is used in the following formulas in AFL on-line library:

More information:

Updated on-line reference