Keyword Description
Dollar value of a 1.0 price move
Class
Function
Where Legal
Resources |
Entry Logic |
Exit Logic |
Initial Size |
Resize (Pre-Category) |
Resize (Category-Level) |
l |
l |
l |
|
|
|
Syntax
POINTVALUE[1]
Argument is optional but recommended if your price data includes foreign denominated symbols.
Example
Sample code
COL1 = ATR[15] * POINTVALUE
SIZING[1] = COL1[1]
' in Resources we save the dollar value of recent volatility
NEWCONTRACTS = (EQUITY * .01) / SIZING[1]
' In the initial size logic, we reference the volatility
' value previously saved. This sizes the position in inverse
' proportion to volatility. The more market volatility, the smaller
' the position.
|
The argument [1] is optional. This argument is used to accommodate foreign denominated markets where point value changes day to day. It is ignored for non-forex markets. It's good practice to always pass yesterday's values to your SIZ code. This is handled in the above example by referencing COL1[1] rather than specifying POINTVALUE[1]. A one-point (1.0) move may not be possible in certain markets depending upon how price is pointed off, but if it did, this function returns the dollar value the move would represent. This brings market price changes to a common value. |
