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Al,
I changed my pullback backtest to use your variable PositionSize = -1
* BuyPrice/(2*ATR(15)).
System went from $20k / trade restriction to a range of $10k to $75k
per trade.
Overall profit from the system increased about 30+%, but RAR dropped
from 142% to just 6%+.
Have not done any meaningful due diligence on results yet but was
astonished at how some numbers changed. If the reported RAR number is
valid then it might mean that some trading systems should reverse the
PositionSize calculation.
Appreciate your idea, along with Chuck, Jayson, Graham & Freds comments.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> I Agree that Raw ATR numbers are of little use.
>
> Jayson, I presume you mean 'of little use' in relation to defining
efficient stocks. However, ATR can be very useful in establishing
positionsize. For example, many traders use a multiple of ATR to
establish not only a max stoploss point but also to help calculate how
big of an investment to make in a trade. Thus, risking 1% of current
equity in a trade, you can decide to take a position using the
formula: PositionSize = -1 * BuyPrice/(2*ATR(15)). Here, raw ATR is
very useful because if you happen to buy during a highly volatile
time, your position size is lower because the 2*ATR is in the
denominator. Conversely, if the volatility is low at the time of the
buy, your position size is higher. This is a very effective position
sizing strategy.
>
> Al V.
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