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Steve / Dingo,
In short, the point I'm trying to make here is that when developing,
testing and optimizing systems IMHO the way to do so is using full
compounding as to do otherwise shows erroneous results that can
easilly lead one to think a system is better then it really is in
terms of the negatives and worse then it really is in terms of the
positives. This then in turn has a tendancy to lead one down the
wrong road in terms of the optimizations of those system and in turn
down the wrong road in terms of development.
Over the years I've had this particular discussion with lots of folks
in lots of places. I've yet to hear a viable argument for doing this
process differently but I'm always open to discussion about it.
After developing, testing and optimizing a system one wants to alot
only a certain dollar amount or a certain percentage to trading any
one vehicle that's fine, but the question still remains regarding
what is one going to do with the rest of the dollars that are
available whether on a percentage or dollar basis. That doesn't mean
that there aren't other systems or trading vehicles but IMHO when
it's time to be invested then it is ... and not in a small way.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Stephen Almond \(F\)" <steve@xxxx>
wrote:
> System Testing & Evaluation Portfolios was Trailing Stops ?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 -----
> From: Fred Tonetti
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Saturday, April 12, 2003 5:51 PM
> Subject: [amibroker] System Testing & Evaluation Portfolios was
Trailing Stops ?
>
>
> 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.
>
> All / Any,
>
> On another front in response to and a question for those who do
baskets of stocks/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 of capital invested to 100%
when the possibility of simultaneous trades is in play.
>
> Notice in the attached picture that InitialEquity is set to 10000
and that PositionSize 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 even with AllowPositionSizeShrinking checked !!!
Did I miss something here ? If not I would think this issue would be
of paramount importance to those testing/trading baskets/portfolios
of stocks.
>
> <<...>>
>
>
>
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