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Rob,
If you could supply me with these numbers for your system:
% Winning Ttrades:
% Losing Trades;
Average amount of Winning trades: $
Average amount of Losing Trades: $
Anthony
bowbie89 wrote:
> Hello Anthony,
>
> That is how I calculated my expectancy of $937 in my earlier post. I
> am trying to whittle it down to get the expectancy per dollar
> risked. I'm starting to think I just take the results as is but I
> don't know the answer as to why.
>
> Rob
>
> --- In amibroker@xxxx, Anthony Faragasso <ajf1111@xxxx> wrote:
> > 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
> > > >
> > > >
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