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Al, please turn off HTML. Thanks. You seem to be the only one with
that feature turned on. Thanks for your understanding.
178 lines of code, when only 12 where needed for the message.
Posted in full below. To all the other members, sorry for my OT post.
-= Chris ß =-
_________________________________________________________
On Wed, 05 Feb 2003 11:28:47 -0500, you wrote:
> <html>
>
> <div style='background-color:'><DIV>
> <P>Jerome,</P>
> <P>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:</P>
> <P>PositionSize = -1*BuyPrice/(2*ATR(15));</P>
> <P>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. </P>
> <P>Al Venosa<BR></P></DIV>
> <DIV></DIV>
> <DIV></DIV>
> <DIV></DIV>
> <DIV></DIV>>From: Jerome ULRICH <SILVARIUS@xxxxxxx>
> <DIV></DIV>>Reply-To: amibroker@xxxxxxxxxxxxxxx
> <DIV></DIV>>To: <AMIBROKER@xxxxxxxxxxxxxxx>
> <DIV></DIV>>Subject: RE: [amibroker] Re: NDX / QQQ-Can itbe traded? !!!!
> <DIV></DIV>>Date: Wed, 5 Feb 2003 17:01:44 +0100
> <DIV></DIV>>
> <DIV></DIV>>Al,
> <DIV></DIV>>
> <DIV></DIV>>What do you mean by "when you base position sizing on current equity " ? Why
> <DIV></DIV>>is it unrealistic ? All depends on the position sizing algorythm. If you
> <DIV></DIV>>mean the way AmiBroker manages position sizing for a basket of stocks, then
> <DIV></DIV>>yes, it is unrealistic. But this problem is only due to AmiBroker limitation
> <DIV></DIV>>in this domain, and Tomasz is working to improve it. Meanwhile, if you want
> <DIV></DIV>>something realistic, you have to export the trades generated by AmiBroker in
> <DIV></DIV>>another program (Excel for example), then program an algorythm to select
> <DIV></DIV>>which trades are really taken, and in which order, and finally apply your
> <DIV></DIV>>position sizing algorythm. It sounds a bit complicated, but most people with
> <DIV></DIV>>a minimum of VBA knowledge should be able to tackle it.
> <DIV></DIV>>
> <DIV></DIV>>Best regards, Jerome ULRICH
> <DIV></DIV>>
> <DIV></DIV>>
> <DIV></DIV>> -----Message d'origine-----
> <DIV></DIV>> De : Al Venosa [mailto:avcinci@xxxxxxxxxxx]
> <DIV></DIV>> Envoye : mercredi 5 fevrier 2003 16:27
> <DIV></DIV>> A : amibroker@xxxxxxxxxxxxxxx
> <DIV></DIV>> Objet : RE: [amibroker] Re: NDX / QQQ-Can itbe traded? !!!!
> <DIV></DIV>>
> <DIV></DIV>>
> <DIV></DIV>> Good comment, Jerome. I, too, have found that expectancy calculations are
> <DIV></DIV>>incorrect when one uses compounding in his backtests. Fixing the position
> <DIV></DIV>>size will indeed enable you to calculate expectancy properly. Having done
> <DIV></DIV>>that, THEN you may use position size algorithsms to evaluate money
> <DIV></DIV>>management schemes. Good idea. However, that still doesn't solve the
> <DIV></DIV>>fundamental problem of unrealistic backtest results when you base position
> <DIV></DIV>>sizing on current equity. Thanks for the feedback.
> <DIV></DIV>>
> <DIV></DIV>> Al Venosa
> <DIV></DIV>> avcinci@xxxxxxxxxxx
> <DIV></DIV>>
> <DIV></DIV>> >From: Jerome ULRICH
> <DIV></DIV>> >Reply-To: amibroker@xxxxxxxxxxxxxxx
> <DIV></DIV>> >To:
> <DIV></DIV>> >Subject: RE: [amibroker] Re: NDX / QQQ-Can itbe traded? !!!!
> <DIV></DIV>> >Date: Wed, 5 Feb 2003 15:53:37 +0100
> <DIV></DIV>> >
> <DIV></DIV>> >Hello Fred,
> <DIV></DIV>> >
> <DIV></DIV>> >Backtesting system on a constant dollar trades basis enables you to
> <DIV></DIV>> >calculate the expectency of your system. Then, you can apply your
> <DIV></DIV>>position
> <DIV></DIV>> >sizing algorism, which should include at least a minimum size under which
> <DIV></DIV>> >trading should be stopped (that applies especially to professionnal
> <DIV></DIV>>traders
> <DIV></DIV>> >that have fix costs to take into account), and a maximum size above which
> <DIV></DIV>> >the commission/slippage you included in your test non longer applies.
> <DIV></DIV>> >
> <DIV></DIV>> >Best regards, Jerome ULRICH
> <DIV></DIV>> > -----Message d'origine-----
> <DIV></DIV>> > De : Fred [mailto:fctonetti@xxxxxxxxx]
> <DIV></DIV>> > Envoye : mercredi 5 fevrier 2003 15:13
> <DIV></DIV>> > A : amibroker@xxxxxxxxxxxxxxx
> <DIV></DIV>> > Objet : [amibroker] Re: NDX / QQQ-Can itbe traded? !!!!
> <DIV></DIV>> >
> <DIV></DIV>> >
> <DIV></DIV>> > Yuki,
> <DIV></DIV>> >
> <DIV></DIV>> > I'm not arguing your statement in terms of how one might trade in the
> <DIV></DIV>> > real world, but you are not going to design & optimize a trading
> <DIV></DIV>> > system based on constant dollar trades are you ? especially if that
> <DIV></DIV>> > sysem is designed to trade a broad index like NDX as represented by
> <DIV></DIV>> > QQQ's or for that matter the hundred stocks it represents.
> <DIV></DIV>> >
> <DIV></DIV>> > --- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga wrote:
> <DIV></DIV>> > > Hi Fred,
> <DIV></DIV>> > >
> <DIV></DIV>> > > Wednesday, February 5, 2003, 10:45:49 PM, you wrote:
> <DIV></DIV>> > >
> <DIV></DIV>> > > Ffyc> Maybe when I get to $50mm I'd agree with you, but to limit
> <DIV></DIV>> > > Ffyc> position sizes produces unrealistic results
> <DIV></DIV>> > >
> <DIV></DIV>> > > Sorry, but you are quite wrong. I thought you were a trader, too,
> <DIV></DIV>> > > but now I'm wondering. It is unrealistic, quite unrealistic, not to
> <DIV></DIV>> > > limit position sizes to positions that can slip in and out of a
> <DIV></DIV>> > > market without distorting it, or actually becoming the market.
> <DIV></DIV>> > >
> <DIV></DIV>> > > Trading anything even close to that size, or allowing it to be
> <DIV></DIV>> > > considered as a test, in most stocks, is producing results that
> <DIV></DIV>> > > cannot be obtained in real trades, therefore the results are absurd.
> <DIV></DIV>> > >
> <DIV></DIV>> > > I would guess you would have to scale down drastically in many
> <DIV></DIV>> > issues
> <DIV></DIV>> > > that are less liquid than others. You can do it or not as you see
> <DIV></DIV>> > > fit, but don't expect much respect for the numbers you are posting
> <DIV></DIV>> > if
> <DIV></DIV>> > > you don't. They are absurd.
> <DIV></DIV>> > >
> <DIV></DIV>> > > Best,
> <DIV></DIV>> > >
> <DIV></DIV>> > > Yuki
> <DIV></DIV>> > >
> <DIV></DIV>> > > mailto:yukitaga@x...
> <DIV></DIV>> >
> <DIV></DIV>> >
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