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Dingo,
The losses would have to be replaced as well as siphoning profits off
the winners and this after each trade. Even that would make
calculation of DD's and returns a semi-nightmare i.e. what's the DD
after you have a 5% loss and then replenish the cash and then have
another 5% loss and then replenish the cash and is that then the same
gain/loss as on the positive side when you have a gain of 5%, siphon
off the gain and then have another 5% gain and siphon off the gain ?
It appears that both have 0% gain unless somehow there is cash
accounting as well.
Now if one were to think about the above aspect of things, is that
really what one would want to do in real life i.e. siphon profits off
your best systems (penalize) and replenish losses in your worst
systems (reward) ? Personally I'd rather trash the worst systems and
continue to trade the best ones.
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> I¡Çm 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
>
>
>
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: Saturday, April 12, 2003 3:40 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: System Testing & Evaluation Portfolios was
> Trailing Stops ?
>
>
>
> 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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