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> I am curious if the methodology of limiting position sizes to fixed
> dollar amounts is something you actually do.
Fred and others,
Later tonight or tomorrow I will start a new thread with a Subject
line called "Trading in Real Life". And in that thread we can discuss
actual trading methodologies along with the applicability of
Amibroker's backtesting capability as it applies to actual trading.
Maybe I'll learn something... or maybe others will learn something.
If there is active participation, it could be a long running thread
because I have several issues to discuss but I don't want to saturate
any one post with more than one trading/Amibroker issue.
It is a pretty day here and I have some non-computer activities that
need attention.
If you are interested in this new thread... just imagine an
automotron's warbling electronic voice beckoning you with the words...
"Would you like to play a game?".
Later,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> No problem ... I thought it might provide a fast path for you. Keep
> in mind when exporting available numbers even for each trade from AB
> that this does NOT allow for showing true drawdowns.
>
> 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.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> > > So how does your "grail" system look with the portfolio equity
> curve
> > > indicator ?
> >
> > Fred,
> >
> > I don't want you to take this the wrong way but I am currently
> > spending my time and effort in developing an 'equity curve' / 'mkt
> > risk exposure' measurement from exported *.csv backtest trade files.
> >
> > ie. I am going at this measurement from the 'back door' and think
> that
> > I am on the right track to eliminate the manual efforts I've spent
> in
> > the past.
> >
> > Eventually, I'll get the chance to use your 'Equity Curve Indicator'
> > and will let you know what the results are.
> >
> > Regards,
> >
> > Phsst
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > Phsst,
> > >
> > > So how does your "grail" system look with the portfolio equity
> curve
> > > indicator ?
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> > > > > Phsst,
> > > > > something to consider.... -.50 is a much different number
> on a
> > > > $100 stock
> > > > > than it is on a $10 stock
> > > >
> > > > Yes I know. For illustration purposes only.
> > > >
> > > > Phsst
> > > >
> > > > >
> > > > > Jayson
> > > > > -----Original Message-----
> > > > > From: phsst [mailto:phsst@x...]
> > > > > Sent: Friday, April 11, 2003 12:28 PM
> > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > Subject: [amibroker] Re: Trailing Stops
> > > > >
> > > > >
> > > > > This sample is unique to my own trading systems but you
> should be
> > > able
> > > > > to manipulate this code as needed. The trailing Stop is set at
> > > > > previous days close minus 0.50, and if the stock Opens below
> that
> > > > > figure then it takes you out of the trade at the Open price.
> And
> > > this
> > > > > particular trading system does not set a Stop Loss on the day
> > > that a
> > > > > position is entered.
> > > > >
> > > > > Just my way of doing it.
> > > > >
> > > > > Good luck... Phsst
> > > > >
> > > > >
> > > > >
> > > > > SetTradeDelays(1,0,0,0); // Affects Back Test (not Scan or
> > > Explore)
> > > > >
> > > > > Buy = <buy condition>
> > > > >
> > > > > LongBars = BarsSince(Buy==0); // Used to prevent S/L on 1st
> day
> > > > >
> > > > > SellPrice = IIf(LongBars == 2,0,Ref(L - .50,-1)); // No S/L
> 1st
> > > Day
> > > > > -(2 needed for SetTradeDelays)
> > > > >
> > > > > PrevSellPrice = IIf(SellPrice == 0,0,Ref(L - .50,-1)); //
> > > Trailing
> > > > >
> > > > > SellPrice = Max
> (SellPrice,PrevSellPrice); //
> > > Stop
> > > > >
> > > > > SellPrice = Min
> (SellPrice,O); //
> > > Loss
> > > > >
> > > > > Sell = L <= SellPrice;
> > > > >
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Tony/Dianne" <awenos@xxxx>
> > > wrote:
> > > > > > Hello,
> > > > > >
> > > > > > For the past several days, I have been trying to code a
> Trailing
> > > > > Stop without success.
> > > > > >
> > > > > > I'm using both AFL and VB Script.
> > > > > >
> > > > > > My problem is that I always seem to end up with a circular
> > > reference
> > > > > problem which
> > > > > > boils down to: I need a Trailing stop variable to define
> the
> > > Sell
> > > > > condition and I need
> > > > > > the Sell condition to define the Trailing stop variable.
> > > > > >
> > > > > > Can anyone give me advice/code sample to help?
> > > > > >
> > > > > > As an aside, I've looked at the ApplyStop function and it
> does
> > > not
> > > > > seem to do what I
> > > > > > am seeking .
> > > > > >
> > > > > > My goal is, for a long entry, to have an amount defined by
> the
> > > ATR
> > > > > function, which is subtracted from
> > > > > > the low creating the stop level. The stop level would then
> > > trail up
> > > > > only.
> > > > > >
> > > > > > Any help would be appreciated.
> > > > > >
> > > > > > Regards,
> > > > > >
> > > > > > Tony
> > > > >
> > > > >
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