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Hi Tomasz,
Sunday, September 09, 2001, 5:41:03 PM, you wrote:
TJ> Dear Brook,
TJ> Currenly you can not control position size from the formula. The
TJ> support for money management is being planned but please
TJ> understand that every change in backtester needs very detailed
TJ> testing so I can't promise you this in the next release, sorry.
TJ> But yes, I know it is important and plan to add it soon.
When it does come time to add this, certain modifications to the
system tester might be desirable. Maybe this is what you guys are
talking about now, and my English simply isn't up to understanding
well.
But, for system testing, it would be wonderful if multiple exits from
a single entry was supported. This is a very common tactic of
successful traders. I can say that, because I am one, and I use if
quite often, in fact, almost all the time.
I would suggest that an entry size be allowed, specified as a number
of shares, and then multiple exits (stops) be allowed specified as a
percentage of that initial entry. I realize specifying the number of
shares is not something that one would want to do with a universe of
stocks, since prices vary so greatly. But for looking at individual
stocks, this would be fantastic.
In the real world, very, very few of us trade a universe of stocks.
We trade individual stocks, or a handful of stocks at the very most.
Doesn't mean we don't want to run back tests on the entire universe,
of course, but it does mean we need more flexibility to look at how
individual stocks do with a given system, after they have been culled
from the results of a universe test that suggests which individuals
or which handful should get greater scrutiny.
Best,
Yuki
mailto:yukitaga@x...
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