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Thanks to all who responded with such very helpful input: Ara, Ken,
Herman, Rick, Mark, and Tomasz.
I had overlooked the fact that in AmiBroker, PositionSize is
expressed in dollars, not shares.
This was my oversight due to the fact that in most of my other
readings (Tharp, Turtle Trader site, and perhaps a dozen or so other
sites, Position Size IS expressed in Number of Shares, and is defined
as "the number of Contracts or Shares purchased."
This realization has resulted in me having to rewrite parts of many
systems and explorations, but it's so good to have it cleared up in
my own mind and see where the error arose.
My apologies for not doing enough due diligence research especially
in AmiBroker's Help before posting, and thanks once more for
everyone's helpfulness and patience through this small bump in my
learning curve.
Just one last question on this subject: Shouldn't the following two
situations produce identical results?
1) PositionSize = 30000; ( with equity set to 30000 in Settings as
well as in "Capital" variable in code and no position size shrinking)
2) PositionSize = -100 ( with equity set to 30000 in Settings as
well as in "Capital" variable in code and no position size shrinking)
Even after I adjusted my code to fix the misunderstanding I had
regarding position size, these two tests, which seem to me should be
equivalent, produce entirely different results.
Here are the different results obtained in each case:
# of Tr Avg.Tr. Portfolio %
1) 3708 +644.06 53938 +79.79 %
2) 3708 +1739.65 94692 +215.64 %
... of course, I'd never trade with 100%, but these #'s illustrate my
point better; 30000 should produce the same results as -100 (100% of
30000)
Here are the results for the same test at $3000 and -10 (10% of
30000). They are still significantly different:
1) 3708 +65.80 32445 + 8.15 %
2) 3708 +70.10 32605 + 8.68 %
Do you think that the difference between the integer and the
floating point calculation of the percentage could account for this
large of a difference?
Best Regards to all
Nick Molchanoff
--- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> Hello,
>
> Nick wrote:
>
> > 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.
> First of all POSITION SIZE is expressed in DOLLARS not in number of
shares.
>
> RTFM !
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
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