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Thanks, Herman, for that very important distinction.
Regards,
Mark
> -----Original Message-----
> From: Herman van den Bergen [mailto:psytek@x...]
> Sent: Wednesday, 23 October 2002 1:23 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: PositionSize Variable - Help -
> Inexplicable
> Results
>
>
> Hello Mark,
>
> small correction: PositionSize = -10; does NOT define
> PosSize as 10% of
> "InitialEquity", is is defined in terms of current equity.
>
> Best regards,
> Herman
>
>
> > -----Original Message-----
> > From: Mark Allen [mailto:mpa@x...]
> > Sent: 21 October, 2002 9:02 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: RE: [amibroker] Re: PositionSize Variable - Help
> - Inexplicable
> > Results
> >
> >
> > Hi Nick,
> >
> > Excuse me for butting in here, for I am not anywhere near as
> > knowledgable as those who have so far replied to your
> query, but am
> > also interested in understanding the issues involved. It
> seems to me
> > there may well be some basic misconceptions occurring
> regarding your
> > use of PositionSize in AFL, which I describe below (inviting
> > corrections to any errors of my own):
> >
> > 1) In AB, PositionSize = dollar amount (eg, "Positionsize
> = 10000;")
> > or a percentage of equity (eg, "Positionsize = -10;" defines
> > Positionsize as 10% of Initial Equity), not number of shares. This
> > alone may cause a huge variance in the results you see
> when comparing
> > the use of to non-use of the Positionsize variable in
> your tests. The
> > results returned from the use of PositionSize defined as
> a number of
> > shares (so much smaller than it should be because the
> dollar value has
> > been devided by the share's close value) cannot be compared to the
> > Backtester's default use of total Initial Equity (as a
> dollar value).
> >
> > 2) In Backtester Settings, the accompanying Allow PositionSize
> > Shrinking switch may also affect your results, depending
> on whether
> > your equity dips below the Positionsize declared in your
> AFL. If it is
> > OFF, the tester will continue to apply trades to the value of
> > Positionsize with non-existent equity.
> >
> > 3) As returns shrink through the use of money management
> > (Positionsize), the impact of commissions and brokerage
> can be much
> > greater, turning reasonably profitable but small
> theoretical trades
> > into real losses.
> >
> > If all of the above were to affect your tests at the same
> time, I'm
> > sure the result could be as devastating as those you describe.
> >
> > I apologise if my observations are incorrect and I am but
> muddying the
> > waters, but hopefully some clarity will arise soon.
> >
> > Regards,
> >
> > Mark
<snip>
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