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Please
don't be embarrassed, Herman. The thread is an intelligent and significant one.
Thanks for initiating it!
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<FONT face=Arial color=#0000ff
size=2>Regards,
<FONT face=Arial color=#0000ff
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Mark
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>
<FONT face=Tahoma
size=2>-----Original Message-----From: Herman van den Bergen
[mailto:psytek@xxxx]Sent: Thursday, 24 October 2002 5:25
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Tharp's ATR-based PositionSizing
<SPAN
class=680315018-23102002>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 curveis
virtually flat).
<SPAN
class=680315018-23102002>
btw
I did read whatever emails and help I could find, <FONT face=Arial
color=#0000ff size=2>hopefully I am doing
something really dumb...
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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 really
as 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 toour
systems: #include Tharp.afl and magic: no more risk of ruin :-)
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<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
position size 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 we
have
>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 ruin or
>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 swingsfrom
>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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