|
PureBytes Links
Trading Reference Links
|
Hello Rob,
Have you seen the formula for expectancy on Page 143 of Tharp's Book.
System has 90% winning trades, average winning trade is 275.00, and 10%
losing trades, average losing trade is 2,700.00:
Expectancy=(.90 * 275)-(.10*2700)=-22.5
The system although 90% winning trades is Negative Expectation.
Anthony
bowbie89 wrote:
> 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
> >
> >
> > Yahoo! Groups Sponsor
> > ADVERTISEMENT
> >
> >
> >
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
>
>
> Yahoo! Groups Sponsor
ADVERTISEMENT
>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|