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Hi, Andrew,
1) Use say, positionsize = -10; to use 10% of your current equity for
every trade.
2) for commission and slippage, you can build them into a commssion
number or use AFL to adjust for you, use the later is a little bit
tricky though.
3) As far as I know, AB has not supported pyramid yet. TJ has promised
this to be part of a new release sometime now. He did proposed a AFL
workaround some time ago, please search archive for it.
4) I do not think position sizing or pyramiding can make a negative
expectancy system positive.
Thomas
--- In amibroker@xxxxxxxxxxxxxxx, "Andrew Smith" <andy_kovacs@xxxx>
wrote:
> Hi folks.
>
> Ive spent the last months testing literally dozens of different
systems on different types, and periods, of data. I always set the
commission to 1% using the settings menu and the results I get are
varied. Some systems give over 100% and others give -100%. However,
taking the best system and changing one or two variables (all the
systems have optimisation parameters) slightly turns and excellent
system into a negative expectancy system. So does using the same
system on a different time period of the same "filter" in the
backtester. The results seem to be random and not system based in that
none produce consistently good or bad results.
>
> The next step would be to use position sizing and pyramiding
contracts to see if this makes results more constant, but I have a few
questions that perhaps someone can help with. If this info is already
documented anywhere, could someone point the way? Many thanks ...
>
> 1) I noticed someone recently pointed out that using a % for trading
costs means that AB uses that % of equity
>
> 2) I also read that AB uses ALL equity for each trade. Is this true?
This is NOT how I would operate so, this makes the results I get from
backtester useless. How can you simulate trading costs and spread when
using position sizing algorithms?
>
> 2) If I get two or more signals in the same direction (a trend) how
can I open ANOTHER position? Is this possible to code?
>
> Thanks.
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