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Yes, I
know. I was just trying mentally to see what it would take to make them
equivalent.
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I'm
with you now, I think.
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<FONT
face=Tahoma size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx] Sent: Saturday, April 12, 2003 5:52
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
System Testing & Evaluation Portfolios was Trailing Stops
?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@xxxx]>
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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