Combining multiple strategies on same symbol into one code

AFL Programming
,
#1

Hi there,

assuming you have ten SPY strategies which you want to backtest all together, and since only 3-5 should be invested at the same time you need to do it in one strategy. I already know how to code the different entries and exits (using switch case expressions), how can I achieve that multiple positions in the same symbol are being opened? I guess I need to do some scaling in and scaling out, alreqdy checked the docs, but so far I didn't succeed. Is anybody doing something similar amd can share some sample code? Any hints are highly appreciated!

Thanks,
M

1 Like
#2

I don't know if this helps @matzbanni, as I think that my setup is a bit different than yours, but I have a separate window/chart for each system. It makes it easer for me to generally manage, evaluate performance and keeps each system on a separate thread for speed. The code that manages the positions and places the orders are kept in include files and I make ample use of static variables throughout the code.

1 Like
#3

Unfortunately not, I'm talkin about backtesting e.g. 10 systems, when only 4 are allowed to br invested simultaneously.

1 Like
#4

Off the top of my head, if I had to keep all the code in one window, I'd probably just layer each system in separate procedures and then just toggle the ones on/off with code above it that I wanted to be active at the time. Then below that would be your position management and then broker execution code.

If that does not help can you be very specific @matzbanni as to what areas you are struggling with? Is it just the logic of how to put everything together?

#5

I'll post some sample code later as soon as I'm in front of my laptop in order to illustrate my problem.

1 Like
#6

I tried it like this, see below. However, with this approach only buy signals are used when I'm not in a position (but I want to be in multiple positions on the same symbol though). I guess I need to switch that to some sort of counter, which checks the current open positions etc. Not as easy as I thought it'll be to be honest.

// BACKTESTER SETTINGS

SetOption("InitialEquity",100000);
SetOption("AllowPositionShrinking", True);
SetOption("maxopenpositions", 100);
SetBacktestMode( backtestRegularRaw);
BuyPrice = SellPrice = Close;
RoundLotSize = 1;
Buy = Sell = Short = Cover = 0;

Buy21 = Cross(MA(C, 50), MA(C, 200));
Buy22 = Cross(MA(C, 20), MA(C, 50));
Buy23 = Cross(MA(C, 10), MA(C, 20));

Sell21 = Cross(MA(C, 200), MA(C, 50));
Sell22 = Cross(MA(C, 50), MA(C, 20));
Sell23 = Cross(MA(C, 20), MA(C, 10));


Plot(Buy21, "T1", colorYellow, styleThick );
Plot(Buy22, "T2", colorBlue, styleThick );
Plot(Buy23, "T3", colorBrown, styleThick );

InTrade = 0;
Buy = 0;
Sell = 0;

for( i = 0; i < BarCount; i++ )
{
	switch( InTrade )
	{
		case 0: // not in trade
			if( Buy21[ i ] ) 
			{
				Buy[i] = sigScaleIn;
				InTrade = 21;
			}
			else
			if( Buy22[ i ] )
			{
				Buy[i] = sigScaleIn;
				InTrade = 22;
			}
			else
			if( Buy23[ i ] )
			{
				Buy[i] = sigScaleIn;
				InTrade = 23;
			}
			
			break;
			
		case 21:
			if( Sell21[ i ] ) 
			{
				Buy[i] = sigScaleOut;
				InTrade = 0; 
			}
			break;
			
		case 22:
			if( Sell22[ i ] ) 
			{
				Buy[i] = sigScaleOut;
				InTrade = 0; 
			}
			break;

		case 23:
			if( Sell23[ i ] ) 
			{
				Buy[i] = sigScaleOut;
				InTrade = 0;  
			}
			break;
	}
}

SetPositionSize( 50, spsPercentOfEquity );
SetPositionSize( 100, spsPercentOfPosition * ( Buy == sigScaleOut ) );
#7

i mistakenly assumed you were trading futures so I made an example for futures. The principle is the same for stocks. Maybe later I will try to add an example for stocks (SPY). You can solve this in multiple ways. Below is an example for futures where for system21 I trade 3 contracts, system22 2 contracts and system 23 1 contract. You can use the cursor on the chart to see in the Title what the positions are doing

// BACKTESTER SETTINGS
SetTradeDelays( 0, 0, 0, 0 );
SetOption( "FuturesMode", True );
SetOption( "PriceBoundChecking", False );
SetOption( "AllowSameBarExit", True );
SetOption( "CommissionMode", 3 );
SetOption( "CommissionAmount", 2.5 );
BuyPrice = SellPrice = Close;
Buy = Sell = 0;
NumContracts21 = 3;
NumContracts22 = 2;
NumContracts23 = 1;

Buy21 = Cross( MA( C, 50 ), MA( C, 200 ) );
Buy22 = Cross( MA( C, 20 ), MA( C, 50 ) );
Buy23 = Cross( MA( C, 10 ), MA( C, 20 ) );

Sell21 = Cross( MA( C, 200 ), MA( C, 50 ) );
Sell22 = Cross( MA( C, 50 ), MA( C, 20 ) );
Sell23 = Cross( MA( C, 20 ), MA( C, 10 ) );

// combining the systems
Buy21 = ExRem( Buy21, Sell21 );
Sell21 = ExRem( Sell21, Buy21 );
Buy22 = ExRem( Buy22, Sell22 );
Sell22 = ExRem( Sell22, Buy22 );
Buy23 = ExRem( Buy23, Sell23 );
Sell23 = ExRem( Sell23, Buy23 );

inBuy21 = Nz( Flip( Buy21, Sell21 ) );
inBuy22 = Nz( Flip( Buy22, Sell22 ) );
inBuy23 = Nz( Flip( Buy23, Sell23 ) );

totalPositions = IIf( inBuy21, 1, 0 ) * NumContracts21 +
                 IIf( inBuy22, 1, 0 ) * NumContracts22 +
                 IIf( inBuy23, 1, 0 ) * NumContracts23;
actionAtBar = totalPositions - Ref( totalPositions, -1 );

Buy = IIf( actionAtBar >= 1 AND totalPositions >= 1 AND Ref( totalPositions, -1 ) == 0, 1, 0 );
Buy = IIf( actionAtBar >= 1 AND totalPositions >= 1 AND Ref( totalPositions, -1 ) >= 1, sigScaleIn, Buy );
Buy = IIf( actionAtBar <= -1 AND totalPositions >= 1, sigScaleOut, Buy );
Sell = IIf( actionAtBar <= -1 AND totalPositions == 0, 1, 0 );

SetChartBkColor( ColorRGB( 0, 0, 0 ) );
SetChartOptions( 0, chartShowArrows | chartShowDates );
Plot( C, "C", colorWhite, styleCandle, Null, Null, 0, 0, 1 );
Plot( MA( C, 10 ), "Ma10", colorYellow, styleLine | styleNoRescale, Null, Null, 0, 0, 1 );
Plot( MA( C, 20 ), "Ma20", colorViolet, styleLine | styleNoRescale, Null, Null, 0, 0, 1 );
Plot( MA( C, 50 ), "Ma50", colorPaleTurquoise, styleLine | styleNoRescale, Null, Null, 0, 0, 1 );
Plot( MA( C, 200 ), "Ma200", colorBlue, styleLine | styleNoRescale, Null, Null, 0, 0, 1 );
Plot( totalPositions, "total positions", colorGold, styleLine | styleOwnScale | styleStaircase, Null, Null, 0, 0, 1 );

Title =
    "actionAtBar: " + actionAtBar +
    EncodeColor( colorGold ) + "\n totalPositions: " + totalPositions + EncodeColor( colorWhite ) +
    "\n Ref( totalPositions, -1 ): " + Ref( totalPositions, -1 ) +
    "\n Buy: " + Buy +
    "\n Sell: " + Sell +
    "\n Buy21: " + Buy21 +
    "\n Buy22: " + Buy22 +
    "\n Buy23: " + Buy23 +
    "\n Sell21: " + Sell21 +
    "\n Sell22: " + Sell22 +
    "\n Sell23: " + Sell23;

PlotShapes( IIf( Buy == 1, shapeUpArrow, shapeNone ), colorDarkGreen, 0, L, -20 );
PlotShapes( IIf( Buy == 1, shapeSmallCircle, shapeNone ), colorWhite, 0, BuyPrice, 0 );
PlotShapes( IIf( Buy == sigScaleIn, shapeUpArrow, shapeNone ), colorBrightGreen, 0, L, -20 );
PlotShapes( IIf( Buy == sigScaleIn, shapeSmallCircle, shapeNone ), colorWhite, 0, BuyPrice, 0 );
PlotShapes( IIf( Buy == sigScaleOut, shapeDownArrow, shapeNone ), colorGold, 0, H, -20 );
PlotShapes( IIf( Buy == sigScaleOut, shapeSmallCircle, shapeNone ), colorWhite, 0, BuyPrice, 0 );
PlotShapes( IIf( Sell, shapeDownArrow, shapeNone ), colorRed, 0, H, -20 );
PlotShapes( IIf( Sell, shapeSmallCircle, shapeNone ), colorWhite, 0, SellPrice, 0 );

PlotShapes( IIf( Buy21, shapeUpTriangle, shapeNone ), colorBrightGreen, 0, L, -40 );
PlotShapes( IIf( Sell21, shapeDownTriangle, shapeNone ), colorBrightGreen, 0, H, -40 );
PlotShapes( IIf( Buy22, shapeUpTriangle, shapeNone ), colorYellow, 0, L, -40 );
PlotShapes( IIf( Sell22, shapeDownTriangle, shapeNone ), colorYellow, 0, H, -40 );
PlotShapes( IIf( Buy23, shapeUpTriangle, shapeNone ), colorAqua, 0, L, -40 );
PlotShapes( IIf( Sell23, shapeDownTriangle, shapeNone ), colorAqua, 0, H, -40 );

SetPositionSize( abs( actionAtBar ), IIf( Buy OR Sell, spsShares, spsNoChange ) );
5 Likes
#8

here is for SPY. Instead of contract I use percentOfEquity. Did a quick test, seems OK but no guarantees. So system21 buys 50% of equity, system22 30% and sysmtem23 20%.

If you want to see all details of the backtest you have to set the report settings to detailed log.

// BACKTESTER SETTINGS
SetTradeDelays( 0, 0, 0, 0 );
SetOption("InitialEquity",100000);
SetOption( "PriceBoundChecking", False );
SetOption( "CommissionMode", 3 );
SetOption( "CommissionAmount", 0.005 );
RoundLotSize = 1;
TickSize = 0.01;
MarginDeposit = 5000;
PointValue = 1;
BuyPrice = SellPrice = Close;
Buy = Sell = 0;

PercentOfEquity21 = 50;
PercentOfEquity22 = 30;
PercentOfEquity23 = 20;

Buy21 = Cross( MA( C, 50 ), MA( C, 200 ) );
Buy22 = Cross( MA( C, 20 ), MA( C, 50 ) );
Buy23 = Cross( MA( C, 10 ), MA( C, 20 ) );

Sell21 = Cross( MA( C, 200 ), MA( C, 50 ) );
Sell22 = Cross( MA( C, 50 ), MA( C, 20 ) );
Sell23 = Cross( MA( C, 20 ), MA( C, 10 ) );

// combining the systems
Buy21 = ExRem( Buy21, Sell21 );
Sell21 = ExRem( Sell21, Buy21 );
Buy22 = ExRem( Buy22, Sell22 );
Sell22 = ExRem( Sell22, Buy22 );
Buy23 = ExRem( Buy23, Sell23 );
Sell23 = ExRem( Sell23, Buy23 );

inBuy21 = Nz( Flip( Buy21, Sell21 ) );
inBuy22 = Nz( Flip( Buy22, Sell22 ) );
inBuy23 = Nz( Flip( Buy23, Sell23 ) );

totalPositions = IIf( inBuy21, 1, 0 ) * PercentOfEquity21 +
                 IIf( inBuy22, 1, 0 ) * PercentOfEquity22 +
                 IIf( inBuy23, 1, 0 ) * PercentOfEquity23;
actionAtBar = totalPositions - Ref( totalPositions, -1 );

Buy = IIf( actionAtBar >= 1 AND totalPositions >= 1 AND Ref( totalPositions, -1 ) == 0, 1, 0 );
Buy = IIf( actionAtBar >= 1 AND totalPositions >= 1 AND Ref( totalPositions, -1 ) >= 1, sigScaleIn, Buy );
Buy = IIf( actionAtBar <= -1 AND totalPositions >= 1, sigScaleOut, Buy );
Sell = IIf( actionAtBar <= -1 AND totalPositions == 0, 1, 0 );

// remove excess signals at start (this is just for display purposes)
Sell21 = IIf( Sell21 AND !( Buy OR Sell ), 0, Sell21 );
Sell22 = IIf( Sell22 AND !( Buy OR Sell ), 0, Sell22 );
Sell23 = IIf( Sell23 AND !( Buy OR Sell ), 0, Sell23 );

SetChartBkColor( ColorRGB( 0, 0, 0 ) );
SetChartOptions( 0, chartShowArrows | chartShowDates );
Plot( C, "C", colorWhite, styleCandle, Null, Null, 0, 0, 1 );
Plot( MA( C, 10 ), "Ma10", colorYellow, styleLine | styleNoRescale, Null, Null, 0, 0, 1 );
Plot( MA( C, 20 ), "Ma20", colorViolet, styleLine | styleNoRescale, Null, Null, 0, 0, 1 );
Plot( MA( C, 50 ), "Ma50", colorPaleTurquoise, styleLine | styleNoRescale, Null, Null, 0, 0, 1 );
Plot( MA( C, 200 ), "Ma200", colorBlue, styleLine | styleNoRescale, Null, Null, 0, 0, 1 );
Plot( totalPositions, "total positions", colorGold, styleLine | styleOwnScale | styleStaircase, Null, Null, 0, 0, 1 );

Title =
    "actionAtBar: " + actionAtBar +
    EncodeColor( colorGold ) + "\n totalPositions (PercentOfEquity): " + totalPositions + EncodeColor( colorWhite ) +
    "\n Ref( totalPositions, -1 ): " + Ref( totalPositions, -1 ) +
    "\n Buy: " + Buy +
    "\n Sell: " + Sell +
    "\n Buy21: " + Buy21 +
    "\n Buy22: " + Buy22 +
    "\n Buy23: " + Buy23 +
    "\n Sell21: " + Sell21 +
    "\n Sell22: " + Sell22 +
    "\n Sell23: " + Sell23;

PlotShapes( IIf( Buy == 1, shapeUpArrow, shapeNone ), colorDarkGreen, 0, L, -20 );
PlotShapes( IIf( Buy == 1, shapeSmallCircle, shapeNone ), colorWhite, 0, BuyPrice, 0 );
PlotShapes( IIf( Buy == sigScaleIn, shapeUpArrow, shapeNone ), colorBrightGreen, 0, L, -20 );
PlotShapes( IIf( Buy == sigScaleIn, shapeSmallCircle, shapeNone ), colorWhite, 0, BuyPrice, 0 );
PlotShapes( IIf( Buy == sigScaleOut, shapeDownArrow, shapeNone ), colorGold, 0, H, -20 );
PlotShapes( IIf( Buy == sigScaleOut, shapeSmallCircle, shapeNone ), colorWhite, 0, BuyPrice, 0 );
PlotShapes( IIf( Sell, shapeDownArrow, shapeNone ), colorRed, 0, H, -20 );
PlotShapes( IIf( Sell, shapeSmallCircle, shapeNone ), colorWhite, 0, SellPrice, 0 );

PlotShapes( IIf( Buy21, shapeUpTriangle, shapeNone ), colorBrightGreen, 0, L, -40 );
PlotShapes( IIf( Sell21, shapeDownTriangle, shapeNone ), colorBrightGreen, 0, H, -40 );
PlotShapes( IIf( Buy22, shapeUpTriangle, shapeNone ), colorYellow, 0, L, -40 );
PlotShapes( IIf( Sell22, shapeDownTriangle, shapeNone ), colorYellow, 0, H, -40 );
PlotShapes( IIf( Buy23, shapeUpTriangle, shapeNone ), colorAqua, 0, L, -40 );
PlotShapes( IIf( Sell23, shapeDownTriangle, shapeNone ), colorAqua, 0, H, -40 );

SetPositionSize( abs( actionAtBar ), IIf( Buy OR Sell, spsPercentOfEquity, spsNoChange ) );
5 Likes
#9

Wow, many thanks, I didn't expect a full blown solution! Will check it tomorrow asap, great end of the year :grin:

Best,
M

#10

Great stuff, just tried it with my systems, works as expected. Final question, what if I want to limit the number of Scale Ins to two, meaning I do have three distinct strategies, but only want to take two signals at the same time, position size 50% each. Any hint on that?

Thanks in advance, M

#11

that is a tough 1 I think to solve with arrays only. So if you for instance use:

PercentOfEquity21 = 50;
PercentOfEquity22 = 50;
PercentOfEquity23 = 50;

then you can limit the total "PercentOfEquity" to 100% using:

totalPositions = IIf( inBuy21, 1, 0 ) * PercentOfEquity21 +
                 IIf( inBuy22, 1, 0 ) * PercentOfEquity22 +
                 IIf( inBuy23, 1, 0 ) * PercentOfEquity23;
totalPositions = Min( 100, totalPositions ); // add this line
actionAtBar = totalPositions - Ref( totalPositions, -1 );

problem only is that it will start mixing the signals of the various systems.

So I am afraid you will need to use loops for that. Which is also not difficult. I just liked to solve it using arrays only. But will think about it a bit

#12

here is a loop version. You will have to check if it is correct since I did not check if all is correct. I think in this case using a loop is the simplest way to go. Not sure if it can be solved with arrays only

Also for the backtest I think you will have to set Account margin to a lower value than 100 since else it often will not scale in if there are insufficient funds, see: account margin

// BACKTESTER SETTINGS
SetTradeDelays( 0, 0, 0, 0 );
SetOption( "InitialEquity", 100000 );
SetOption( "PriceBoundChecking", False );
SetOption( "CommissionMode", 3 );
SetOption( "CommissionAmount", 0.005 );
RoundLotSize = 1;
TickSize = 0.01;
MarginDeposit = 5000;
PointValue = 1;
BuyPrice = SellPrice = Close;
Buy = Sell = 0;

PercentOfEquity21 = 50;
PercentOfEquity22 = 50;
PercentOfEquity23 = 50;

Buy21 = Cross( MA( C, 50 ), MA( C, 200 ) );
Buy22 = Cross( MA( C, 20 ), MA( C, 50 ) );
Buy23 = Cross( MA( C, 10 ), MA( C, 20 ) );

Sell21 = Cross( MA( C, 200 ), MA( C, 50 ) );
Sell22 = Cross( MA( C, 50 ), MA( C, 20 ) );
Sell23 = Cross( MA( C, 20 ), MA( C, 10 ) );

// combining the systems
Buy21 = ExRem( Buy21, Sell21 );
Sell21 = ExRem( Sell21, Buy21 );
Buy22 = ExRem( Buy22, Sell22 );
Sell22 = ExRem( Sell22, Buy22 );
Buy23 = ExRem( Buy23, Sell23 );
Sell23 = ExRem( Sell23, Buy23 );

totalPositions = 0;
actionAtBar = 0;
totpos = 0;
maxtotpos = 100; // max 100%
inBuy21 = inBuy22 = inBuy23 = 0;

for( i = 1; i < BarCount; i++ )
{
    if( Buy21[i] AND totpos < maxtotpos )
    {
        if( totpos == 0 )
        {
            Buy[i] = 1;
        }
        else
            if( totpos > 0 )
            {
                Buy[i] = sigScaleIn;
            }

        totpos = totpos + PercentOfEquity21;
        actionAtBar[i] = PercentOfEquity21;
        inBuy21 = 1;
    }

    if( Buy22[i] AND totpos < maxtotpos )
    {
        if( totpos == 0 )
        {
            Buy[i] = 1;
        }
        else
            if( totpos > 0 )
            {
                Buy[i] = sigScaleIn;
            }

        totpos = totpos + PercentOfEquity22;
        actionAtBar[i] = PercentOfEquity22;
        inBuy22 = 1;
    }

    if( Buy23[i] AND totpos < maxtotpos )
    {
        if( totpos == 0 )
        {
            Buy[i] = 1;
        }
        else
            if( totpos > 0 )
            {
                Buy[i] = sigScaleIn;
            }

        totpos = totpos + PercentOfEquity23;
        actionAtBar[i] = PercentOfEquity23;
        inBuy23 = 1;
    }

    if( Sell21[i] AND inBuy21 )
    {
        totpos = totpos - PercentOfEquity21;
        actionAtBar[i] = PercentOfEquity21;

        if( totpos == 0 )
        {
            Sell[i] = 1;
        }
        else
            if( totpos > 0 )
            {
                Buy[i] = sigScaleOut;
            }

        inBuy21 = 0;
    }

    if( Sell22[i] AND inBuy22 )
    {
        totpos = totpos - PercentOfEquity22;
        actionAtBar[i] = PercentOfEquity22;

        if( totpos == 0 )
        {
            Sell[i] = 1;
        }
        else
            if( totpos > 0 )
            {
                Buy[i] = sigScaleOut;
            }

        inBuy22 = 0;
    }

    if( Sell23[i] AND inBuy23 )
    {
        totpos = totpos - PercentOfEquity23;
        actionAtBar[i] = PercentOfEquity23;

        if( totpos == 0 )
        {
            Sell[i] = 1;
        }
        else
            if( totpos > 0 )
            {
                Buy[i] = sigScaleOut;
            }

        inBuy23 = 0;
    }

    totalPositions[i] = totpos;
}

SetChartBkColor( ColorRGB( 0, 0, 0 ) );
SetChartOptions( 0, chartShowArrows | chartShowDates );
Plot( C, "C", colorWhite, styleCandle, Null, Null, 0, 0, 1 );
Plot( MA( C, 10 ), "Ma10", colorYellow, styleLine | styleNoRescale, Null, Null, 0, 0, 1 );
Plot( MA( C, 20 ), "Ma20", colorViolet, styleLine | styleNoRescale, Null, Null, 0, 0, 1 );
Plot( MA( C, 50 ), "Ma50", colorPaleTurquoise, styleLine | styleNoRescale, Null, Null, 0, 0, 1 );
Plot( MA( C, 200 ), "Ma200", colorBlue, styleLine | styleNoRescale, Null, Null, 0, 0, 1 );
Plot( totalPositions, "total positions", colorGold, styleLine | styleOwnScale | styleStaircase, 0, 150, 0, 0, 1 );

Title =
    "actionAtBar: " + actionAtBar +
    EncodeColor( colorGold ) + "\n totalPositions (PercentOfEquity): " + totalPositions + EncodeColor( colorWhite ) +
    "\n Ref( totalPositions, -1 ): " + Ref( totalPositions, -1 ) +
    "\n Buy: " + Buy +
    "\n Sell: " + Sell +
    "\n Buy21: " + Buy21 +
    "\n Buy22: " + Buy22 +
    "\n Buy23: " + Buy23 +
    "\n Sell21: " + Sell21 +
    "\n Sell22: " + Sell22 +
    "\n Sell23: " + Sell23;

PlotShapes( IIf( Buy == 1, shapeUpArrow, shapeNone ), colorDarkGreen, 0, L, -20 );
PlotShapes( IIf( Buy == 1, shapeSmallCircle, shapeNone ), colorWhite, 0, BuyPrice, 0 );
PlotShapes( IIf( Buy == sigScaleIn, shapeUpArrow, shapeNone ), colorBrightGreen, 0, L, -20 );
PlotShapes( IIf( Buy == sigScaleIn, shapeSmallCircle, shapeNone ), colorWhite, 0, BuyPrice, 0 );
PlotShapes( IIf( Buy == sigScaleOut, shapeDownArrow, shapeNone ), colorGold, 0, H, -20 );
PlotShapes( IIf( Buy == sigScaleOut, shapeSmallCircle, shapeNone ), colorWhite, 0, BuyPrice, 0 );
PlotShapes( IIf( Sell, shapeDownArrow, shapeNone ), colorRed, 0, H, -20 );
PlotShapes( IIf( Sell, shapeSmallCircle, shapeNone ), colorWhite, 0, SellPrice, 0 );

PlotShapes( IIf( Buy21, shapeUpTriangle, shapeNone ), colorBrightGreen, 0, L, -40 );
PlotShapes( IIf( Sell21, shapeDownTriangle, shapeNone ), colorBrightGreen, 0, H, -40 );
PlotShapes( IIf( Buy22, shapeUpTriangle, shapeNone ), colorYellow, 0, L, -40 );
PlotShapes( IIf( Sell22, shapeDownTriangle, shapeNone ), colorYellow, 0, H, -40 );
PlotShapes( IIf( Buy23, shapeUpTriangle, shapeNone ), colorAqua, 0, L, -40 );
PlotShapes( IIf( Sell23, shapeDownTriangle, shapeNone ), colorAqua, 0, H, -40 );

SetPositionSize( abs( actionAtBar ), IIf( Buy OR Sell, spsPercentOfEquity, spsNoChange ) );
2 Likes