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Yes
Al, this answers my question.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Regarding backtesting one stock, you must evaluate how much you can trade
in the stock in order to remain in the limit of your initial slippage input. If
you really want to do it seriously (which I advice), do the test with tick
datas. Then, once you have your limit, program it in AFL. Taking your example
:
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>PositionSize = -1*BuyPrice/(2*ATR(15));
<FONT face=Arial color=#0000ff
size=2>YourLimit = ;//here enter the maximum amount you can
trade
<FONT face=Arial color=#0000ff
size=2>PositionSize = IIF(PositionSize >
YourLimit;YourLimit;PositionSize);
<FONT face=Arial color=#0000ff
size=2>
Also,
since I know your are interested in Position sizing, basing your size on ATR can
be tricky. If you enter your trade after a long period of very low volatility,
you will be overloaded if volatility explodes at the moment you enter your
trade. The contrary, being undernloaded, is much less of a problem (and rarely
faced anyway). But this is a bit off topic in this tread
;-).
<FONT face=Arial color=#0000ff
size=2>
Best
Regards, Jérôme ULRICH
<FONT face=Tahoma
size=2>-----Message d'origine-----De : Al Venosa
[mailto:avcinci@xxxxxxxxxxx]Envoyé : mercredi 5 février 2003
17:29À : amibroker@xxxxxxxxxxxxxxxObjet : RE:
[amibroker] Re: NDX / QQQ-Can itbe traded? !!!!
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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