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were the tests that produced this set of
images run for the same date range as the ones in your prior message? The
expectancies are different as well as the other statistics and I’m wondering
why?
d
<span
>-----Original Message-----
From: Stephen Almond (F)
[mailto:steve@xxxxxxxxxxxxxxxxxxxxxx]
Sent: Saturday, April 12, 2003
7:58 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re:
Trailing Stops
<span
>
<font size=2 color=black
face=Arial>Here
are some pictures of the "Fred's Equity" relating to the various
positionsizes.
<font size=2 color=black
face=Arial>Order:
<font size=2 color=black
face=Arial>No
positionsize
<font size=2 color=black
face=Arial>$1,000
<font size=2 color=black
face=Arial>$10,000
<font size=2 color=black
face=Arial>10%
<span
>
<font size=2 color=black
face=Arial>Do they
mean anything.......?
<span
>
<font size=2 color=black
face=Arial>Steve
<span
>----- Original Message -----
<font size=2
face=Arial>From:<font
size=2 face=Arial> <a
href="" title="steve@xxxxxxxxxxxxxxxxxxxxxx">Stephen
Almond (F)
<span
>To:<font
size=2 face=Arial> <a
href="" title="amibroker@xxxxxxxxxxxxxxx">amibroker@xxxxxxxxxxxxxxx
<span
>Sent:<font
size=2 face=Arial> Saturday,
April 12, 2003 11:28 AM
<span
>Subject:<font
size=2 face=Arial> Re:
[amibroker] Re: Trailing Stops
<span
>
<font size=2 color=black
face=Arial>Fred,
<span
>
<font size=2 color=black
face=Arial>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.
<font size=2 color=black
face=Arial>As a,
contrived, example:
<font size=2 color=black
face=Arial>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).
<span
>
<font size=2 color=black
face=Arial>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%.
<font size=2 color=black
face=Arial>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.
<span
>
<font size=2 color=black
face=Arial>Steve
<span
>
<span
>
<span
>
<span
>
<span
>
<span
>
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.
<span
>
Send
BUG REPORTS to bugs@xxxxxxxxxxxxx<font size=2
face="Courier New">
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>
<font size=2
face="Courier New">Send BUG REPORTS to
bugs@xxxxxxxxxxxxx<span
>
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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