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Hello Ken,
Thanks for the quick reply.
I did do many repeated runs with many varied position sizes and
repeated runs with the postionsize commented out.
While I understand and agree with your statements, what I'm not
getting is :
If AB uses your total equity on each trade ( if you don't use
PositionSize) then, if you DO use PositionSize and set the number of
shares to TotalEquity/Close, then the results of the two runs should
be identical, but in all my tests, they are not. I do not understand
why this is so. I must conclude that I am either suffering a
misunderstanding, making an error, or there is a problem with
PositionSize implementation.
Have you tested this yourself? Does it work OK for you?
Again, thanks for your input and lightning response.
Regards,
Nick Molchanoff
--- In amibroker@xxxx, "Ken Close" <closeks@xxxx> wrote:
> This explanation is correct.
>
> If you do not have a positionsize statement in, and your
system "works" -
> has a positive expectancy, and you set the report to show every
trade, you
> soon see that you are investing more and more on each trade. You
might do
> this in real life, but I do not. When I put in the positionsize
amount, it
> is a realistic amount that I would place on each trade. I make it
stay the
> same for every trade, but of course it can vary.
>
> Run the test with the positionsize line commented out, then again
with it
> in, and of course you see a big decrease in total profits (percent
or
> absolute). Which one would you actually trade?
>
> Ken
>
> -----Original Message-----
> From: akaloustian [mailto:ara1@x...]
> Sent: Monday, October 21, 2002 4:50 PM
> To: amibroker@xxxx
> Subject: [amibroker] Re: PositionSize Variable - Help - Inexplicable
> Results
>
>
> 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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