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Here are some pictures of the "Fred's
Equity" relating to the various positionsizes.
Order:
No positionsize
$1,000
$10,000
10%
Do they mean
anything.......?
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=steve@xxxxxxxxxxxxxxxxxxxxxx
href="">Stephen Almond (F)
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 12, 2003 11:28
AM
Subject: Re: [amibroker] Re: Trailing
Stops
Fred,
I think one of the sensible things
to achieve with a backtest is a conservative result. If you allow compounding
to run unchecked then pretty soon you find the system is casually putting
$1,000,000 or so into a single position. Fixed position size doesn't
necessarily reflect the way any of us invest, but it does show whether the
system produces consistent winners and is IMO a much better basis for
comparison between systems.
As a, contrived,
example:
System A produces a steady 20% gain
on every trade. System B produces a steady 15% gain on every trade except the
last one which makes 80% gain. With compounding system B looks so much better,
but I for one would rather trade system A going forward. The effect of one
fortuitous trade can be overwhelming when compounding occurs (depending on
when it occurs).
Attached are the results of
one simple system traded on one index, initial equity is $10,000 in each case.
Shown are results for a)No positionsize, b)fixed positionsize of £1,000,
c)fixed positionsize of £10,000, d)positionsize of 10%.
I'm particularly interested in the
Expectancy. Is this a good measure of the quality of a system? Most of the
other parameters are 'adjustable' simply by changing positionsize. Expectancy
seems to cut through some of the fog generated.
Steve
I am curious if the methodology of limiting position sizes to fixed
dollar amounts is something you actually do. The construct of
PositionSize = Percent as opposed to DollarAmount is also a feature in
AB which for those who trade portfolios of stocks is one I
understand. What I don't follow about using PositionSize =
DollarAmount is for example once your portfolio eventually doubles in
size you'll only be trading 50% of it won't you ? Another AB
proviso here is that it doesn't seem to limit the number of simultaneous
trades one can make regardless of how one sizes PositionSize relative to
InitialEquity. By that I mean if I have 10 tradable things in my
group and I specify that PositionSize = 50% of equity, it will still allow
me to have 10 open positions, same thing if I specify my initial equity is
$500k and PositionSize = $250K. Again neither of these conditions is
realistic.Send
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