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I$B!G(Bm back from a mind clearing walk and
now see that you are right. The only way to make them the same is to figure out
a way in the case of a fixed trade amount to siphon off all profits from the
trades and not replenish any losses (not certain on this part) .
d
<span
>-----Original Message-----
From: Fred
[mailto:fctonetti@xxxxxxxxx]
Sent: Saturday, April 12, 2003
3:40 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: System
Testing & Evaluation Portfolios was Trailing Stops ?
<span
>
<span
>Steve / Dingo,<font size=2
face="Courier New">
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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