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Phsst,
I'm glad you raised this topic. I've been looking at various
positionsize systems.
First thing is to decide how we measure the 'quality' of the results.
I've been using Expectancy =(1+Avg.win/avg.loss)*(win/total)-1. Using
this when testing a simple system against the NDX, a fixed
positionsize gives the best expectancy. ANY fixed value($20,000,
$50,000) gives the same value for expectancy. Note, though, that this
isn't the case if you use RAR/DD or some such measure.
I look forward to hearing what the experts think on this topic.
Steve
--- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> 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
>
>
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