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Ok ,
We `ll take two examples
CASE A :
Buy1 on july1 at 10$ posize 10000
Buy2 on july15 at 11$ posize 10000
Sell on july30 at 12$
Gain is (12/10 –1)*10000 + (12/11-1) *10000 ;
2000 + 909 = 2909 ;
CASE B :
Buy1 on july1 at 10$ posize 10000
Sell 1 on july15 at 11$
Buy2 on july15 at 11$ posize 20000
Sell2 on july30 at 12$
Gain is (11/10 –1)*10000 + (12/11-1)*20000;
 1000 + 1818 = 2818 ;
I think the case A is the RIGHT ADDING position size
Stephane
> Hi Stephane
>
> If you run a back test on tj's simple pyramid it does not seem to
> work this way.
>
> Using your example
>
> > if you want to pyramid , I suppose you want ( it is an example)
> > july1= buy1 with positionsize1 at entryprice1
> > july15=buy2 with positionsize2 at entryprice2
> >
> > with ( simple case ) positionsize1=positionsize2;
> >
> > july30=sell ( all the position size)
>
> A correct implementation of TJ's pyramid will have the JULY 1 buy
> liquidated on JULY 15, not JULY 30. Then double the positionsize
and
> buy on July 15 and Sell on July30.
>
> backtest tj's example on any stock - you will see
>
> monday long (wed out)
> wed long (friday out)
>
> Maybe I have missed something?
>
> Steve
>
>
> --- In amibroker@xxxx, "nenapacwanfr" <nenapacwanfr@xxxx> wrote:
> >
> >
> >
> >
> > if you want to pyramid , I suppose you want ( it is an example)
> > july1= buy1 with positionsize1 at entryprice1
> > july15=buy2 with positionsize2 at entryprice2
> >
> > with ( simple case ) positionsize1=positionsize2;
> >
> > july30=sell ( all the position size)
> >
> > what does the backtester: It takes the first entry( july1) and
sell
> > on july30
> > for buy1 the gain will be (Exitprice/entryprice1 - 1)*positionsize
> > for buy2 the gain will be (Exitprice/entryprice2 - 1)*positionsize
> >
> > if we want to simulate adding position, we must compute the
> > newpositionsize at buy1 with this equation
> > Xp=exitprice;
> > Ep1=entryprice at buy1;
> > Ep2=entryprice at buy2;
> > P=positionsize( assume it is fixed)
> > N=new computed positionsize
> >
> > (Xp/Ep1)*P + (Xp/Ep2)*P = ( Xp/Ep1)*N ;
> >
> > N = P * ( Xp/Ep1 + Xp/Ep2 ) * (Ep1/Xp);
> > N = P * (Ep1/Ep2) ;
> >
> >
> > > I read you post a few times, but I am not sure I understand the
> > > problem.
> > >
> > > Let's say I pyramid once only, with double the position size, I
> > > assumed that the first buy is set with postionsize, then
> > liquidated
> > > via a Sell statement at some future date (according to some
> > cond1),
> > > resulting a accurate LONG profit. You then adjust postionsize
and
> > buy
> > > again on the same day, liquidating again later according to
some
> > > cond2, with an accuate LONG profit again.
> > >
> > >
> > > can you clarify for me what the issue is?
> > >
> > >
> > > Steve
> > > --- In amibroker@xxxx, "nenapacwanfr" <nenapacwanfr@xxxx> wrote:
> > > > It seems the backtester takes one entry and one exit
> > > > and the profit is calculated for LONG with
> > > > ((ExitPr/EntryPr1)-1)*Positionsize
> > > >
> > > > if you take adding position
> > > > that means
> > > > you'll have multiples
> > > > ((ExitPr/EntryPr2)-1)*Positionsize
> > > > ((ExitPr/EntryPr3)-1)*Positionsize
> > > >
> > > > if you want to be right that means you must solve an equation
> to
> > > > know what would be the right position size at entryPr1 if all
> > the
> > > > adding position have been taken.
> > > >
> > > > Hmmm!
> > > >
> > > > stephane
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