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Thanks for the quick response, Ara, but, a few things you said, I'm
not sure I understand correctly:
1) " > So if your starting equity is $100K and positionsize = $20K
gives you
> a profit of $10K, that becomes 10% return."
I understand positionsize to be a number of shares, not a dollar
amount. Please correct me if I'm wrong on that.
2) "> If you remove position size, each trade uses all of the capital
> available, so the return will be significantly higher."
I thought I had checked against this possibility properly by
substituting the number of shares purchaseable with total capital
available (total equity / closing price == # of shares if total
equity invested) into the positionsize variable and then testing with
that amount explicitly defined in the code. Instead of being the
same as I would have expected, I found that the percentage gain
results were still dramatically decreased. This should not be the
case. If AB is calculating using total equity when I don't
explicitly declare it, then if I use Total Equity/close explicitly
declared in PositionSize variable, the results should be identical--
however, they are not.
3) "> Check your setting to see your starting amount available"
I not only checked and re-checked this, I tested and re-tested over a
range of different values, and in addition, tested with Total Equity
specified in Settings AND in Code, as well as in Settings alone, and
in code alone.
Please forgive me. I had thought I had made all that clear in my
post, but re-reading, I fear I may have become unclear by providing
too much detail in some areas and not taking enough time and space to
state all the basic precautions I took before posting.
Let me restate the crux of my issue more succinctly:
If AB calculates total percent gain using total equity as defined in
settings if positionsize in not explicitly declared, then if you DO
explicitly declare positionsize and set it equal to total equity, the
results should be the same. In all my testing, the results were not
the same, and I think they should be.
I have double-checked my results yet again in light of your comments
and find the same anomalies still present.
Have you tested this yourself? and is it working OK for you?
Regards,
Nick Molchanoff
--- In amibroker@xxxx, "akaloustian" <ara1@xxxx> wrote:
> The position size limits your profita as it is decreased.
>
> The %profits are computed based on total starting equity.
>
> So if your starting equity is $100K and positionsize = $20K gives
you
> a profit of $10K, that becomes 10% return.
>
> If you remove position size, each trade uses all of the capital
> available, so the return will be significantly higher.
>
> Check your setting to see your starting amount available
>
> Ara
>
> --- In amibroker@xxxx, "n94612" <nkm@xxxx> wrote:
> > I've been studying position sizing / money management for about
a
> > month or two now, and have been following most of the recent
> postings
> > on Money Management with great interest. My understanding is
> > increasing, but I have been having some inexplicable results in
> some
> > backtests and explorations that I have been running as learning
> tools
> > regarding position sizing, and I sure could use some help or
input:
> >
> > Like some others of you out there, I noticed that whenever I add
> > position-sizing code to any of my experimental systems, the
percent
> > gain drops WAY down.
> >
> > For example, in one particular test using a Dip-Buying algorithm
> > translated from Wealth-Script, the results were +18.54 with no
> > position size statement in the code and only +0.07% with Tharp's
> > volatility based stops set at a generous 5% of total equity.
> > Lowering the % of TE to the recommended 1 or 2% resulted in
further
> > degradation of results, (1% : -0.02%loss and 2%: +0.00%
negligible
> > gain.) This did not surprise me as I had already read that
many
> of
> > you had the same or similar experiences with severely impacted
> gains
> > in your own backtests that also were resultant from adding
position
> > sizing.
> >
> > However, I then determined to try to get an idea at what
percentage
> > of total equity risked with Tharps volatility, WOULD the results
> come
> > near to those obtained with no position sizing. That's when I
> > discovered that it made almost no difference whether %TE risked
was
> > 0.1%, 0.2% or whatever, even at 10%, 25%, 33%, 50% and 100% of
> total
> > equity risked, the results were still enormously degraded
compared
> to
> > those without explicitly coded position-sizing. That just didn't
> > sound right to me.
> >
> > Growing suspicious, I then proceeded to test a wide range of
fixed-
> > dollar-amount sizings, and fixed-share-amount sizings, all with
> > similarly degraded overall results as the Volatilty-based sizings.
> > I found it made no significant difference whatsoever what
position
> > sizing scheme or formula I employed -- What I found was...
> >
> > ---As soon as the PositionSize variable is added to the code,
the
> > percentage gain results decrease dramatically. All of which
leads
> me
> > to wonder...
> >
> > 1) What is the default for position size used in AmiBroker's
> backtest
> > calculations when the variable is NOT declared? Anybody know?
> >
> > --I don't think it's total equity from Settings because I tested
> for
> > that -- when I use the PositionSize variable
using "capital/close"
> > (total equity as position size) the results are still way down
> (over
> > 95% down) from teh non-declared sizing results, and if that is
so,
> > how can the non-declared sizings result in such better gains? It
> > doesn't make sense.
> >
> > 2) Why can't these non-position sizing results be approximated
> using
> > ANY position-sizing formula when the variable IS declared? I
have
> > been wracking my brain on this, to no avail.
> >
> > Anybody else tried anything like this? If so, did you notice
the
> > same thing. I mean, I can ceratinly see where capping ones risk
to
> a
> > small percentage of total equity, and the resulting inevitable
> > decrease in position sizes, especially for very volatile issues,
> must
> > have SOME negative impact on profits and backtest results; Less
> Risk-
> > Less Profit; it's the price of insuring against catastrophic
loss,
> > and would be more pronounced the shorter the hold-time of the
> system,
> > but this effect should not occur with fixed-share or fixed-dollar
> > sizings, at least not to the same degree. And, it seems to me,
> that
> > at SOME parameter range, the results using the "PositionSize"
> > variable should approach and eventually approximate the default
(no
> > explicitly declared position size variable) gain percentages. But
> > apparently, judging from the results of my own testing anyway,
this
> > is not occuring, so how are the better results without position
> size
> > declaration even possible?
> >
> > I'm baffled. Please anybody, help, comment, question, share
> insights.
> >
> > If anyone out there gets interested enough to take the time and
> > trouble to test some of their systems - not necessarily with
Tharp-
> > style volatility based position sizing - but with a similar wide
> > variety of simpler, more "vanilla" share-based or dollar-amount-
> based
> > sizings, I'd sure love to hear what you find out.
> >
> > I'm hoping that this is some error or misunderstanding on my part
> and
> > not a problem inherent in the the PositionSize variable
> > implementation, but on the off-chance I've inadvertantly
uncovered
> a
> > glitch of some sort, it'd be a good thing to get to the bottom of
> it.
> >
> >
> > Respectfully,
> >
> > Nick Molchanoff
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