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<FONT face=Arial color=#0000ff
size=2>Al,
<FONT face=Arial color=#0000ff
size=2>
What
do you mean by "when you base
position sizing on current equity " ? Why
is it unrealistic ? All depends on the position sizing algorythm. If you mean
the way AmiBroker manages position sizing for a basket of stocks, then yes, it
is unrealistic. But this problem is only due to AmiBroker limitation in this
domain, and Tomasz is working to improve it. Meanwhile, if you want something
realistic, you have to export the trades generated by AmiBroker in another
program (Excel for example), then program an algorythm to select which trades
are really taken, and in which order, and finally apply your position sizing
algorythm. It sounds a bit complicated, but most people with a minimum of VBA
knowledge should be able to tackle it.
<FONT face=Arial color=#0000ff
size=2>
Best
regards, Jérôme ULRICH
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Tahoma
size=2>-----Message d'origine-----De : Al Venosa
[mailto:avcinci@xxxxxxxxxxx]Envoyé : mercredi 5 février 2003
16:27À : amibroker@xxxxxxxxxxxxxxxObjet : RE:
[amibroker] Re: NDX / QQQ-Can itbe traded? !!!!
Good comment, Jerome. I, too, have found that expectancy calculations are
incorrect when one uses compounding in his backtests. Fixing the position size
will indeed enable you to calculate expectancy properly. Having done that,
THEN you may use position size algorithsms to evaluate money management
schemes. Good idea. However, that still doesn't solve the fundamental problem
of unrealistic backtest results when you base position sizing on current
equity. Thanks for the feedback.
Al Venosa<A
href="">avcinci@xxxxxxxxxxx
>From: Jerome ULRICH
>Reply-To: amibroker@xxxxxxxxxxxxxxx
>To:
>Subject: RE: [amibroker] Re: NDX / QQQ-Can itbe traded? !!!!
>Date: Wed, 5 Feb 2003 15:53:37 +0100
>
>Hello Fred,
>
>Backtesting system on a constant dollar trades basis enables
you to
>calculate the expectency of your system. Then, you can apply
your position
>sizing algorism, which should include at least a minimum size
under which
>trading should be stopped (that applies especially to
professionnal traders
>that have fix costs to take into account), and a maximum size
above which
>the commission/slippage you included in your test non longer
applies.
>
>Best regards, Jerome ULRICH
> -----Message d'origine-----
> De : Fred [mailto:fctonetti@xxxxxxxxx]
> Envoye : mercredi 5 fevrier 2003 15:13
> A : amibroker@xxxxxxxxxxxxxxx
> Objet : [amibroker] Re: NDX / QQQ-Can itbe traded? !!!!
>
>
> Yuki,
>
> I'm not arguing your statement in terms of how one might trade
in the
> real world, but you are not going to design & optimize a
trading
> system based on constant dollar trades are you ? especially if
that
> sysem is designed to trade a broad index like NDX as
represented by
> QQQ's or for that matter the hundred stocks it represents.
>
> --- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga
wrote:
> > Hi Fred,
> >
> > Wednesday, February 5, 2003, 10:45:49 PM, you wrote:
> >
> > Ffyc> Maybe when I get to $50mm I'd agree with you,
but to limit
> > Ffyc> position sizes produces unrealistic results
> >
> > Sorry, but you are quite wrong. I thought you were a
trader, too,
> > but now I'm wondering. It is unrealistic, quite
unrealistic, not to
> > limit position sizes to positions that can slip in and
out of a
> > market without distorting it, or actually becoming the
market.
> >
> > Trading anything even close to that size, or allowing it
to be
> > considered as a test, in most stocks, is producing
results that
> > cannot be obtained in real trades, therefore the results
are absurd.
> >
> > I would guess you would have to scale down drastically in
many
> issues
> > that are less liquid than others. You can do it or not as
you see
> > fit, but don't expect much respect for the numbers you
are posting
> if
> > you don't. They are absurd.
> >
> > Best,
> >
> > Yuki
> >
> > mailto:yukitaga@xxxx
>
>
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