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<SPAN
class=536385900-02042003>Phsst,
<SPAN
class=536385900-02042003>
You
get the colors by using your email rather than posting and replying to messages
on the web site. in your preferences you may choose to receive all posts in your
email box.....
<SPAN
class=536385900-02042003>
The
concept of using a greater position size on lower volatility seems like it could
be a dangerous trap. In many cases a stocks volatility will dry up while in a
consolidation. Specifically when approaching significant support/ resistance
levels. Once the stock breaks (one way or the other) often times the volatility
can increase dramatically. Does not this approach leave you vulnerable
to being in an oversized position at exactly the wrong time?
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: phsst
[mailto:phsst@xxxxxxxxx]Sent: Tuesday, April 01, 2003 7:47
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Efficiency & ATR (Al V. & Jayson)"trade
restriction" meant that I had deliberately 'restricted' eachand every trade
PositionSize to $20K.The huge decrease in RAR was a surprise to me too.
That is what Imeant by stating that I had not done any due diligence yet,
thereforedon't read too much into the post that I made. But thinking about
it,even though the profits increased by 30%+ the positionsize
changecould have increased the capital requirements significantly enough
forthe trading system that RAR could have been affected that much.
Idon't know exactly how TJ calculates RAR, but it would be logical
thatRAR is dependent upon capital requirements for the trading
systemmeasured against the profit gains, all in combination with the
holdingperiod (exposure of capital).The comment about reversing
positionsize computation was simply aspeculation it would be interesting to
measure trading systems in twoways... 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... Younever know.BTW... what software did you reply to the
post? I'd like to use colortext for some replies, but don't see a way to do
it with the YahooPost 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 canincrease 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 positionsize
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.>
> > > Yahoo! Groups
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> >
> > > Send BUG REPORTS to bugs@xxxx> Send
SUGGESTIONS to suggest@xxxx>
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