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d,
Yes, same dates. First set of Expectancy was
calculated in Excel after exporting the AB results. The values on the equity
charts are calculated by Fred's internal system.
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dingo
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 12, 2003 3:44
PM
Subject: RE: [amibroker] Re: Trailing
Stops
<SPAN
>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 Iām wondering why?
<SPAN
>
<SPAN
>d
<SPAN
>
<SPAN
>-----Original
Message-----From: Stephen
Almond (F) [mailto:steve@xxxxxxxxxxxxxxxxxxxxxx] <SPAN
>Sent: Saturday, April 12, 2003 7:58
AMTo:
amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: Re: [amibroker] Re: Trailing
Stops
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=black
size=2>Here
are some pictures of the "Fred's Equity" relating to the various
positionsizes.
<FONT face=Arial color=black
size=2><SPAN
>Order:
<FONT face=Arial color=black
size=2>No
positionsize
<FONT face=Arial color=black
size=2><SPAN
>$1,000
<FONT face=Arial color=black
size=2><SPAN
>$10,000
<FONT face=Arial color=black
size=2><SPAN
>10%
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=black
size=2>Do they
mean anything.......?
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=black
size=2><SPAN
>Steve
<BLOCKQUOTE
>
<SPAN
>----- Original Message -----
<FONT
face=Arial size=2><SPAN
>From:<FONT
face=Arial size=2> <A
title=steve@xxxxxxxxxxxxxxxxxxxxxx
href="">Stephen Almond (F)
<FONT face=Arial
size=2><SPAN
>To:<FONT
face=Arial size=2> <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
<FONT face=Arial
size=2><SPAN
>Sent:<FONT
face=Arial size=2>
Saturday, April 12, 2003 11:28 AM
<FONT face=Arial
size=2><SPAN
>Subject:<FONT
face=Arial size=2> Re:
[amibroker] Re: Trailing Stops
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=black
size=2><SPAN
>Fred,
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=black
size=2>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 face=Arial color=black
size=2>As a,
contrived, example:
<FONT face=Arial color=black
size=2><SPAN
>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).
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=black
size=2><SPAN
>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 Ā£1,000, c)fixed positionsize of Ā£10,000, d)positionsize of
10%.
<FONT face=Arial color=black
size=2>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.
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=black
size=2><SPAN
>Steve
<FONT face="Times New Roman"
size=3>
<FONT face="Times New Roman"
size=3>
<FONT face="Times New Roman"
size=3>
<FONT face="Times New Roman"
size=3>
<FONT face="Times New Roman"
size=3>
<FONT face="Courier New"
size=2>
<P class=MsoNormal
><FONT
face="Courier New" size=2><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.
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