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Hello
Rob,
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The
method to divide your results by the number of shares is the right one onlyif
you test a system on a single security. If you test it on multiple securities,
you must make it on a basis that is commun to every securities (money,
percentage, indices etc ...).
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Best
regards, Jerome ULRICH
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size=2>-----Message d'origine-----De : bowbie89
[mailto:robm@xxxx]Envoyé : vendredi 21 juin 2002
05:15À : amibroker@xxxxxxxxxxxxxxxObjet :
[amibroker] Tharp's Expectancy CalculationHello
All,I was wondering if someone could help me out. I'm having
trouble calculating expectancy based upon Tharp's book. I knowI
can calculate the expectancy from the statistic report using avg win/avg
loss but I wanted to follow Tharp's procedure.I just did a simple backtest
on Microsoft and was trying to figure out the expectancy based upon
Tharp's "Trade YourWay To Financial Freedom" book. On page 158,his
second step is to eliminate the effect of position sizing by only
considering single units or 100 share blocks. I think this is where
I'm having my problems. Am I supposed to divide mygains and
losses by the number of shares and then times it by 100? I did this
but it just doesn't seem right. I wanted to attach my excel file but
I don't think I have the rights to upload it or I'm not seeing how todo
it. Thanks for any help,RobYour
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