Re: [amibroker] System Testing & Evaluation Portfolios was Trailing Stops ?

["Stephen Almond \(F\)" <steve@xxxxxxxxxxxxxxxxxxxxxx>]

Fred,
 
I'm always interested to hear your 
views and don't consider them an attack in any way. 
One more thing. what is your thought 
on the use of expectancy as a quality parameter?
I recall you like Ann%/DD%. Is this 
better than expectancy?
 
Steve
 
 
 
 
 
----- Original Message ----- 
<BLOCKQUOTE 
>
  <DIV 
  >From: 
  Fred 
  Tonetti 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Saturday, April 12, 2003 5:51 
  PM
  Subject: [amibroker] System Testing & 
  Evaluation Portfolios was Trailing Stops ?
  
  <FONT face=Arial 
size=2>Steve,
  None of my 
  arguments/discussion points were meant to be an attack so PLEASE don't take 
  them that way ... Regardless of what any particular system returns or doesn't 
  I would want to see results in the way I have stated that I prefer for exactly 
  the reasons I have stated.<SPAN 
  lang=en-us>
  All / 
  Any,
  On another front in 
  response to<FONT 
  face=Arial size=2> and a question for<SPAN 
  lang=en-us> those who 
  do <FONT face=Arial 
  size=2>baskets of stocks/<SPAN 
  lang=en-us>portfolio trading the attached picture 
  represents the issue that I noticed the other day which is that it appears 
  that AB does NOT limit the total percentage<SPAN 
  lang=en-us> of capital 
  invested <FONT 
  face=Arial size=2>to 100%<SPAN 
  lang=en-us> when the possibility of<SPAN 
  lang=en-us> simultaneous 
  trades <FONT face=Arial 
  size=2>is in play.
  Notice in the attached 
  picture that 
  InitialEquity<SPAN 
  lang=en-us> is set to 10000 
  and that 
  P<SPAN 
  lang=en-us><FONT face=Arial 
  size=2>ositionSize<SPAN 
  lang=en-us> is set to 2500 but that in the first 
  trades that AB opens up it allows 10 positions to be opened at 2500 each for a 
  total of 
  25000<SPAN 
  lang=en-us><SPAN 
  lang=en-us> even with<SPAN 
  lang=en-us> <FONT face=Arial 
  size=2>AllowPositionSizeShrinking<SPAN 
  lang=en-us> 
  checked <FONT 
  face=Arial size=2>!!!<SPAN 
  lang=en-us>  Did I miss something here 
  ?<FONT face=Arial 
  size=2>  If not I would think this issue would be of paramount importance 
  to those <FONT 
  face=Arial size=2>testing/<SPAN 
  lang=en-us>trading baskets/portfolios of 
  stocks.
  <FONT face=Arial color=#000000 
  size=2><<...>> <SPAN 
  lang=en-us><SPAN 
  lang=en-us>Send 
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