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Thank
you Al, you say: "if it was 1%, then an 8.95% profit is fantastic and much
better than 120% without position sizing". It was 1% so now my spirits are UP
again :-) but what is "much better" how do I optimize for something I can't
measure or display (the Tharp equity curve is virtually flat).
<SPAN
class=680315018-23102002>
btw I
did read whatever emails and help I could find, <FONT color=#0000ff face=Arial
size=2>hopefully I am doing something really
dumb...
<SPAN
class=680315018-23102002><FONT color=#0000ff face=Arial
size=2><FONT color=#0000ff
face=Arial size=2>
Best
regards,
<SPAN
class=680315018-23102002>Herman.
<SPAN
class=680315018-23102002>
Ps. My
hammering on this topic is getting embarrassing but if this stuff is reallyas
big as it is supposed to be then we'll have lots of happy people when we get to
the bottom of this. Perhaps even a nice piece of code to tag on to our systems:
#include Tharp.afl and magic: no more risk of ruin :-)
<BLOCKQUOTE
>
<FONT face=Tahoma
size=2>-----Original Message-----From: Al Venosa
[mailto:avcinci@xxxx]Sent: 23 October, 2002 2:04
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Tharp's ATR-based PositionSizing
Herman,
TJ pointed out in an earlier post that when you are using position sizing,
the % drawdown results are not correct and should not be used, so you have to
rely on dollar drawdown rather than % dd. Also, remember, with position
sizing, AB calculates % profit on the basis of total equity, not on the basis
of the amount invested per trade. I don't know what you used for positionsize
in your formulas but if it was 1%, then an 8.95% profit is fantastic and much
better than 120% without position sizing. If your equity is $100,000 and in
your first trade you invested $10,000 (to give you your $1000 risk of
loss), then an 8.95% profit would return $895 (8.95% of
$10,000) in however many days the trade lasted. Now, your new equity is
$100,895, and AB would calculate a tiny % profit because it's based on
the entire $100,000, not the $10,000 invested. Maybe TJ will
be able to offer a better explanation tomorrow. Al Venosa<A
href="">
>From: "Herman van den Bergen"
>Reply-To: amibroker@xxxxxxxxxxxxxxx
>To: "Amibroker@xxxx Com"
>Subject: [amibroker] Tharp's ATR-based PositionSizing
>Date: Wed, 23 Oct 2002 11:08:29 -0400
>
>Hello,
>
>further to an earlier post by CS i added the van Tharp's
>ATR-based position sizing code to the StoRSI-BBP system wehave
>been using on the list in several examples. I attach the
backtest
>results for the N100 stocks. Typical results look like this:
>
> No Stops&PosSizing Tharp PositionSizing Ratio
>NoTharp/Tharp
> Range %Profit Max%DD %Profit Max%DD %Profit Max%DD
> QQQ 7/20/99-10/1/02 128.00% 34.00% 8.95% 2.00% 14.30 17.00
> N100 1250 bars 217.00% 85.00% 7.93% 6.04% 27.36 14.07
>
>
>If, like it has been mentioned on this list several times,the
>application of van Tharp's techniques are a matter of ruinor
>no-ruin then we should have at least one single person on this
>list of about 1000 who can to come forward with a practical
>example that works. My appreciation of this topic swings from
>great admiration one day to total dismay the next...
>
>Can somebody show where I went wrong and give a correct
example?
>
>Best regards,
>Herman.
>
>
>
><< TharpsStops-N100.htm >>
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