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Adding
Positionsize = -100; //don't forget the minus sign!
doesn't change anything in my results. Reducing the percentage has the
expected results.
Best regards,
Herman.
> -----Original Message-----
> From: n94612 [mailto:nkm@x...]
> Sent: 21 October, 2002 6:02 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: PositionSize Variable - Help - Inexplicable
> Results
>
>
> 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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> >
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> >
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>
>
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>
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>
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