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Yes - I see what you mean. This is because you have not re-invested
your profits in case B. In case B you should sell your first purchase
and then move your postionsize to (2000+profits from first sell).
Do you agree?
--- In amibroker@xxxx, "nenapacwanfr" <nenapacwanfr@xxxx> wrote:
>
> 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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