Set a maximum position size using SetPositionSize( PctSize, spsPercentOfEquity )

AFL Programming
#1

When I use SetPositionSize( PctSize, spsPercentOfEquity ) as my equity gets larger my position sizes get very large. Is there any way to still use spsPercentOfEquity but limit maximum value of any trade to say $30,000.

for example possize = Min(30000,SetPositionSize( 5, spsPercentOfEquity ));

I have had a look in the forum but cannot find anything. If wrong could someone please point out the location. Thanks Phill

#2

To mix percent of equity with some position value threshold one may use CBT (custom backtester).
Similar thread exists.

So,

procedure CBT_MaxPositionValue( bo, sig, pcnt, max_posvalue, trace ) {
	/// CBT solution to 
	/// @link https://tinyurl.com/vk9truc
	/// by fxshrat@gmail.com
	local eq, pv, size;
	//
	eq = bo.Equity;
	pv = eq * pcnt / 100;	
	size = Min(pv, max_posvalue);
	//
	if ( sig.IsEntry() && trace )
		_TRACEF("equity: %g, pv: %g, pos. size: %g", eq, pv, size);
	return size;
}

SetOption( "InitialEquity", 100000);

// n-percent of equity but max 30000 position value
pcnt = 15;// percent of equity
max_posvalue = 30000;// position value threshold

m = MA( Close, 20 );
Buy = Cross( Close, m ); 
Sell = Cross( m, Close ); 
Short = Cover = 0;

SetCustomBacktestProc( "" );
if ( Status( "action" ) == actionPortfolio ) {
    bo = GetBacktesterObject();
    bo.PreProcess();

    for ( i = 0; i < BarCount; i++ ) {        
        // iterating through all trade signals and adjust pos size
        for ( sig = bo.GetFirstSignal( i ); sig; sig = bo.GetNextSignal( i ) ) {   
            sig.PosSize = CBT_MaxPositionValue( bo, sig, pcnt, max_posvalue, true );
        }
        bo.ProcessTradeSignals( i );
    }    
    bo.PostProcess();
}

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