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Nick,
Position Size IS a dollar amount, not number of shares.
Of course you can translate that into shares by calculating
PositionSize = Close * number of shares you want.
If you specify number of shares that way, you really dont have a good
measure of return as a point point gain is a different percentage
gain for varying prices.
Also using total equity vs psotion size will not produce a
proportionate return. For example of you invest all assets (say $100K)
each time and get a return of $50k, then if you tested positionsize =
50K, you would not get half the profits (100k/50k) because of the
compounding effect of investing more or less than 100k when
psotionsize is not specified.
Ara
--- In amibroker@xxxx, "n94612" <nkm@xxxx> wrote:
> 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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