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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 $75kper trade.
I'm not sure I follow you. What do you mean
by "trade restriction"? Need more info.
Overall profit from the system increased about 30+%, but RAR
droppedfrom 142% to just 6%+.
That's a huge decrease
in RAR. I don't understand how you can increase your overall profits yet have
such a huge decline in RAR.Have not done any meaningful
due diligence on results yet but wasastonished at how some numbers changed.
If the reported RAR number isvalid then it might mean that some trading
systems should reverse thePositionSize calculation.
Again you've lost me.
What do you mean by reversing the position size statement? Can you be a little
more specific?
<FONT
face="Times New Roman">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 definingefficient stocks.
However, ATR can be very useful in establishingpositionsize. For example,
many traders use a multiple of ATR toestablish not only a max stoploss point
but also to help calculate howbig of an investment to make in a trade. Thus,
risking 1% of currentequity in a trade, you can decide to take a position
using theformula: PositionSize = -1 * BuyPrice/(2*ATR(15)). Here, raw ATR
isvery useful because if you happen to buy during a highly volatiletime,
your position size is lower because the 2*ATR is in thedenominator.
Conversely, if the volatility is low at the time of thebuy, your position
size is higher. This is a very effective positionsizing strategy. >
> Al V.
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