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Jerome,
Let me give an example. Suppose I start out at day 0 with an initial equity of $100 K. I set my position size thusly:
PositionSize = -1*BuyPrice/(2*ATR(15));
If the buyprice is, say, $50 and the ATR is 1.5, then the above position size would be 1000*50/3 or $16,667. This is quite reasonable. Now, suppose my equity over 10 years has grown to $1,000,000. Assuming everything else is the same (ATR, Buyprice), then the position size would be $166,667. That's a pretty big stake for one trader trading one stock. I'm risking 1% of my current equity, but my current equity has grown 10-fold since I started backtesting. If I were trading a basket of 5 or 8 stocks, naturally that position size would be smaller because the equity has to be divided among the other issues being traded. As I already acknowledged, Amibroker does not manage position sizes right now on a basket of stocks; it only does so on one stock at a time. Yes, I know TJ is working on this, and I don't want to bug him about it again. I was just wondering what others do when performing backtests on a single stock to give trading positions that are more realistic, that's all. Perhaps one can't, or perhaps your idea of exporting the trade list to Excel and creating a VB algorithm would do it. I'm certainly not a whiz at VB. Hope this answers your question.
Al Venosa
>From: Jerome ULRICH
>Reply-To: amibroker@xxxxxxxxxxxxxxx
>To:
>Subject: RE: [amibroker] Re: NDX / QQQ-Can itbe traded? !!!!
>Date: Wed, 5 Feb 2003 17:01:44 +0100
>
>Al,
>
>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.
>
>Best regards, Jerome ULRICH
>
>
> -----Message d'origine-----
> De : Al Venosa [mailto:avcinci@xxxxxxxxxxx]
> Envoye : mercredi 5 fevrier 2003 16:27
> A : amibroker@xxxxxxxxxxxxxxx
> Objet : 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
> 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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>
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