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"trade restriction" meant that I had deliberately 'restricted' each
and every trade PositionSize to $20K.
The huge decrease in RAR was a surprise to me too. That is what I
meant by stating that I had not done any due diligence yet, therefore
don't read too much into the post that I made. But thinking about it,
even though the profits increased by 30%+ the positionsize change
could have increased the capital requirements significantly enough for
the trading system that RAR could have been affected that much. I
don't know exactly how TJ calculates RAR, but it would be logical that
RAR is dependent upon capital requirements for the trading system
measured against the profit gains, all in combination with the holding
period (exposure of capital).
The comment about reversing positionsize computation was simply a
speculation it would be interesting to measure trading systems in two
ways... 1) allocating greater positionsize to lower volatility trades,
and 2) allocating greater positionsize to higher volatility trades.
While it might not make sense, it might be an interesting study... You
never know.
BTW... what software did you reply to the post? I'd like to use color
text for some replies, but don't see a way to do it with the Yahoo
Post or Reply browser screen.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> 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.
>
> 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 dropped
> from 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 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.
>
> Again you've lost me. What do you mean by reversing the position
size statement? Can you be a little more specific?
>
> 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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