In this exercise, we’ll first run Lesson3.sig on a single symbol (price data file) in order to generate some trades to size. Then, we’ll write a simple Initial Sizing routine, and run it.
| 1 | Open Lesson3.sig. This file should appear on the Most Recently Used files list (MRU) at the bottom of the File menu. If it does not, then... |
| 2 | Click the File icon on the Signal toolbar; the path is ..\Mechanica\Sample Rules\Signal Rules. |
| • | Here is the code as we left it at the end of the previous lesson: |
Resources
SYSTEM = 3
COL1 = MAX[HIGH,34,0] + TICK[1] 'long entry price
COL2 = MIN[LOW,34,0] - TICK[1] 'short entry price
COL3 = SMA[CLOSE,34] 'exit indic. (long and short)
Trade Entry
'BUYSTOP = COL1[1] 'long entry signal
BUYSTOP = Long_Entry[1]
'SELLSTOP = COL2[1] 'short entry signal
SELLSTOP = Short_Entry[1]
Trade in Progress & Exit
'IF C[1] < COL3[1] THEN SELLOPEN 'long exit signal
IF C[1] < SMA_Exit[1] THEN SELLOPEN
'IF C[1] > COL3[1] THEN BUYOPEN 'short exit signal
IF C[1] > SMA_Exit[1] THEN BUYOPEN
| 3 | From the Data menu, choose Symbol Manager. |
| 4 | Make sure that the Pinnacle_Futures Data Page is still selected (checked). Tag it (if it is not), and untag any other Data Pages that are currently tagged. |
| 5 | Under the Tag Symbols tab, tag JY_REV, and untag any other Symbols that may be currently tagged. |
| 6 | Close the Symbol Manager. |
| 7 | Save your work out to another filename; from the File menu, choose Save As, Signal Rules… |
| 8 | Call this new file Lesson5 (Mechanica will add the *.sig extension.) |
| 9 | Click the Run arrow icon on the Signal toolbar, or choose Run Signal Rules (Signals menu), to run the system. |
| 10 | When the Signal Rules run is complete, click on the Initial Size tab, and enter the following two lines of code: |
STARTUPCASH = 250000000 '$25,0000,000
NEWCONTRACTS = 1 'for stock testing, use NEWSHARES
| 11 | Click the Save position sizing rules (disk) icon on the Position Sizing toolbar, or from the File menu, choose Position Sizing Rules, Save As, and call this file Lesson5. Mechanica will automatically add the file extension (*.siz). |
| 12 | To run the Position Sizing Rules, Click the Run arrow icon on the Position Sizing toolbar, or from the Position Sizing menu, choose Run Position Sizing Rules. |
| • | When the Position Sizing Rules run is complete, the Portfolio Performance window will appear. |
STARTUPCASH
Let’s review the two lines of Initial Sizing code we wrote. STARTUPCASH specifies your initial account equity for use in Portfolio Analysis. At the start of a simulation, before the first trade is taken:
STARTUPCASH = TOTALCLOSEDEQUITY = TOTALEQUITY
In the example above, we specified that STARTUPCASH = 25000000 … or $25,000,000. Note that the comma used to separate 1000’s is omitted in Mechanica Basic. If STARTUPCASH is not specified, Mechanica defaults to 100000 ($100,000).
NEWCONTRACTS / NEWSHARES
These keywords specify the number of contracts or shares to trade. In this first example, we specified NEWCONTRACTS = 1. Some futures traders run such “single contract” testing as a first step in evaluating the worth of a system; others do not. There are as many opinions on this as there are systematic traders, so we’ll refrain from jumping into the fray.
These keywords are identical in their behavior; it doesn’t matter which you use. The keyword NEWSHARES was added as a convenience for stock traders, many of whom find the concept of dealing with “contracts” (and the keyword NEWCONTRACTS), unfamiliar.