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Hello Jerome,
This was a test just on one stock(MSFT). I'm still not seeing this
clearly. My overall system expectancy is $937 by taking my net
profit and dividing it by the # of trades(31). I am risking 1% of my
equity as you can see in the code below -
Capital=100000;
risk=.01*Capital;
shares=risk/Max(2*ATR(10),2*ATR(3) );
PositionSize=shares*Ep;
Total profits on winning trades(13) = 44,366
Total losses on losing trades(18) = 15,322
>From the statistics printout my Avg Win/Avg Loss = 3.86
So Avg Win X Pct. Win - Avg. Loss X Pct. Loss = 1.04
Yet it seems when I try to eliminate the position sizing effect to
get down to a per share basis, it seems to give me a negative
expectancy. It just seems like I should setup my probability matrix
and leave my gains & losses as is.
Any more thoughts on this?
Rob
--- In amibroker@xxxx, "Silvarius" <silvarius@xxxx> wrote:
> Hello Rob,
>
> The method to divide your results by the number of shares is the
right one
> only if 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 ...).
>
> Best regards, Jerome ULRICH
> -----Message d'origine-----
> De : bowbie89 [mailto:robm@x...]
> Envoye : vendredi 21 juin 2002 05:15
> A : amibroker@xxxx
> Objet : [amibroker] Tharp's Expectancy Calculation
>
>
> Hello All,
>
> I was wondering if someone could help me out. I'm having trouble
> calculating expectancy based upon Tharp's book. I know
> I 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 Your
> Way 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 my
> gains 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 to do it.
>
> Thanks for any help,
>
> Rob
>
>
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