public override PositionSizingComponentResult EstimatePositionSize(ITradingObject tradingObject, double price, double stopLossGap, int totalNumberOfObjectsToBeEstimated)
{
var result = new PositionSizingComponentResult();
if (totalNumberOfObjectsToBeEstimated > MaxObjectNumberToBeEstimated)
{
return(result);
}
var currentEquity = Context.GetCurrentEquity(CurrentPeriod, EquityEvaluationMethod);
var maxParts = MaxPartsOfAdpativeAllocation == 0 ? MinPartsOfAdpativeAllocation : MaxPartsOfAdpativeAllocation;
int parts = PartsOfEquity == 0
? Math.Max(Math.Min(totalNumberOfObjectsToBeEstimated, maxParts), MinPartsOfAdpativeAllocation)
: PartsOfEquity;
double equityUtilization = GetDynamicEquityUtilization(tradingObject);
result.Comments = string.Format(
"positionsize = currentEquity({0:0.000}) * equityUtilization({1:0.000}) / Parts ({2}) / price({3:0.000})",
currentEquity,
equityUtilization,
parts,
price);
result.PositionSize = (int)(currentEquity * equityUtilization / parts / price);
return(result);
}
public override PositionSizingComponentResult EstimatePositionSize(ITradingObject tradingObject, double price, double stopLossGap, int totalNumberOfObjectsToBeEstimated)
{
var result = new PositionSizingComponentResult();
if (totalNumberOfObjectsToBeEstimated > MaxObjectNumberToBeEstimated)
{
return(result);
}
var currentEquity = Context.GetCurrentEquity(CurrentPeriod, EquityEvaluationMethod);
int parts = GetParts(totalNumberOfObjectsToBeEstimated);
double totalEquityUtilization = GetDynamicEquityUtilization(tradingObject);
double boardIndexUtilization = _calculator.CalculateEquityUtilization(tradingObject);
double finalUtilization = totalEquityUtilization * boardIndexUtilization;
result.Comments = string.Format(
"positionsize = currentEquity({0:0.000}) * equityUtilization({1:0.000}) / Parts ({2}) / price({3:0.000})",
currentEquity,
finalUtilization,
parts,
price);
result.PositionSize = (int)(currentEquity * finalUtilization / parts / price);
return(result);
}
public override PositionSizingComponentResult EstimatePositionSize(ITradingObject tradingObject, double price, double stopLossGap, int totalNumberOfObjectsToBeEstimated)
{
var currentEquity = Context.GetCurrentEquity(CurrentPeriod, EquityEvaluationMethod);
var result = new PositionSizingComponentResult();
if (Math.Abs(stopLossGap) < 1e-6)
{
result.Comments = "positionsize = 0 because stopLossGap is too small";
result.PositionSize = 0;
}
else
{
var size = (int)(currentEquity * PercentageOfEquityForEachRisk / 100.0 / Math.Abs(stopLossGap));
result.Comments = string.Format(
"positionsize({3}) = CurrentEquity({0:0.000}) * PercentageOfEquityForEachRisk({1:0.000}) / 100.0 / Risk({2:0.000})",
currentEquity,
PercentageOfEquityForEachRisk,
Math.Abs(stopLossGap),
size);
result.PositionSize = size;
}
return(result);
}
