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Ara,
This is not the point.
PositionSize allows to specify variable size of position
(varies from trade to trade).
For example in the first trade you may invest $25000
in the second trade $20000 and in the third trade $15000.
Buy and Hold simulation buys at the very first bar of analysis period
and sells at the last bar of analysis period.
PositionSize variable at the first bar of analysis period can be
undefined or set to completely weird value so using it would
cause big confusion. On the other hand one would use one
of the position sizes used for trades but the question arises
which one to choose (highest/lowest/average?).
There is also 3rd aspect of the whole thing: to keep B&H results
comparable between themselves the same calculation procedure
has to be used regardless of formula used.
After all Buy and Hold strategy should not depend on the formula used.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "akaloustian" <ara1@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, October 28, 2002 9:48 PM
Subject: [amibroker] Re: Tomasz - PositionSize
> Tomasz,
>
> I was under the impression that when PositionSize is specified, the
> trade will be that amount if funds are available or no trade if
> adequate funds are not available. If so, the B&H amount can be
> determined.... Does position shrinking work with PositionSize,
> complicating the issue?
>
> Is my understanding correct?
>
> Ara
>
>
> --- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> > Ara,
> >
> > In B&H calculation all equity is invested regardless of position
> size variable.
> >
> > Since PositionSize can vary from trade to trade AmiBroker
> > is not able to guess what value of PositionSize should be used for
> > B&H. Maximum, minimum, average ?
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "akaloustian" <ara1@xxxx>
> > To: <amibroker@xxxx>
> > Sent: Monday, October 28, 2002 4:06 AM
> > Subject: [amibroker] Tomasz - PositionSize
> >
> >
> > > When I testing with PositionSize specified, and compare results
> > > without positionsize, the results for the strategy change
> properly,
> > > but the B&H results do not change.
> > >
> > > I beleive the B&H results should be the same for % returns but
> the
> > > absolute $ return should change (assuming total equity and
> position
> > > size are different)
> > >
> > > Ara
> > >
> > >
> > >
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > >
> > > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > >
> > >
> > >
>
>
>
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
>
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
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