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Jerome,
I deleted everything but your reply to keep this email message small since I guess my emails contain lots of redundant HTML code.
Thanks for the suggestion. I have, in the past, done the very thing you suggested by placing a maximum on my position size statement.
Regarding your comment about explosion of volatility at the moment of entry, this could have 2 consequences: (1) the price goes in your favor, or (2) it goes against you. If it goes in your favor, I think you would agree you'd love it. If it's against you, you'll have a max stoploss in place anyway, so even if it shoots beyond your stoploss, in all likelihood you will get out with still a minor loss (albeit larger than you had planned). I don't believe this is a big enough problem to worry that much about. Maybe I'm wrong. I am a believer in volatility-based position-sizing, and many people do it successfully. There are risks in everything we do in this business. This is one risk I guess I'm willing to take until experience tells me otherwise. Thanks for the warning.Al Venosa>From: Jerome ULRICH
>Reply-To: amibroker@xxxxxxxxxxxxxxx
>To:
>Subject: RE: [amibroker] Re: NDX / QQQ-Can itbe traded? !!!!
>Date: Wed, 5 Feb 2003 18:19:16 +0100
>
>Yes Al, this answers my question.
>
>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 :
>
>PositionSize = -1*BuyPrice/(2*ATR(15));
>YourLimit = ;//here enter the maximum amount you can trade
>PositionSize = IIF(PositionSize > YourLimit;YourLimit;PositionSize);
>
>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
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