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Thomas,
I guess where I was headed with this was that I want my system
development, testing and optimization to be as close to real world as
possible for a variety of reasons.
To illustrate a point and maybe ask a question regarding compounding
and its effect on system design, testing and optimization:
If one does compound either by increasing bet size or by increasing
the number of positions one will hold as equity rises then one is
looking to make consistant returns in terms of percentage or CAR.
The results of consistant percentage gains produces an exponential
curve on an arithmetic scale or if you prefer a straight line on a
logarithmic scale.
If this then is the goal i.e. consistant returns in terms of
percentage, regardless of what one does with the gains even if one
takes it out of the account to spend, then why would one build, test
and optimize systems using PositionSize = positivenumber when
currently this feature does not work in AB as one would use it real
trading i.e. it does not limit the number of positions owned based on
equity. IMHO this leads one to the wrong conclusions in development,
testing and optimization and will continue to do so until this aspect
of AB is fixed.
--- In amibroker@xxxxxxxxxxxxxxx, "tchan95014" <tchan95014@xxxx>
wrote:
> Fred,
>
>
>
>
> Let me rephrase, my definition of compounding is one invests a % of
> equity. As simple as that, even if it is 5%, 10% does not matter.
It
> is nothing to do with one position, or 100 positions.
>
>
>
>
> In your example, one is ALWAYS 100% invested, per my definition, it
is
> compounding. If, as you example, one uses a fixed TOTAL amount, say
> $1M, even if one has acquired through investment a gain of $2M,
then
> it is NOT compounding. I agree with you here, it is not real life
> investing style not compounding.
>
>
>
>
> As for if any one is withdrawing money out of the gain to enjoy the
> fruit is nothing to do with compounding.
>
>
>
>
> If I vote, I would vote for (in that order)
>
>
> 1) real portfolio testing and real positionsizing along with it.
>
>
> 2) 2-D surface chart included
>
>
> 3) MCS
>
>
> 4) Allow users to manipulate all the report statistics. (Someone
asked
> for addColumn() for optimize, scan... is a start)
>
>
>
>
>
>
> Thomas
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
>
>
> > Thomas,
>
>
> >
>
>
> > I'm not sure you got my point ... but maybe you did and I just
don't
>
>
> > follow your reply. I hadn't even gotten to talking about how
>
>
> > positionsize = in AB relates to what people do in real life
trading
>
>
> > but it's my contention that for those that think they are not
>
>
> > compounding by using positionsize = positivenumber and that this
is
>
>
> > the way they trade in real life, that if the number of positions
> they
>
>
> > are taking times the positionsize number continually approaches
>
>
> > available equity and that equity is increasing over time that
this
>
>
> > too is a form of compounding even if bet size never changes.
This
> of
>
>
> > course would be done in real life by one allowing more postitions
to
>
>
> > be taken rather than by increasing bet size.
>
>
> >
>
>
> > Fred
>
>
> >
>
>
> > --- In amibroker@xxxxxxxxxxxxxxx, "tchan95014" <tchan95014@xxxx>
>
>
> > wrote:
>
>
> > > I agree completely. I think any time in a system design, if one
>
>
> > does
>
>
> > > NOT use positionsize OR use position = negative value, then one
is
>
>
> > > compounding. That is when one use % for positionsize input then
it
>
>
> > is
>
>
> > > compounding.
>
>
> > >
>
>
> > >
>
>
> > >
>
>
> > >
>
>
> > > In Fred's example, it is positionsize = -100 (100% reinvested)
OR
>
>
> > > positionsize is NOT used at all (default = 100% reinvested)
>
>
> > >
>
>
> > >
>
>
> > >
>
>
> > >
>
>
> > > Thomas
>
>
> > >
>
>
> > >
>
>
> > >
>
>
> > >
>
>
> > > --- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxxx>
>
>
> > wrote:
>
>
> > >
>
>
> > >
>
>
> > > > Regarding whether one in real life trading compounds or not
it
> is
>
>
> > my
>
>
> > >
>
>
> > >
>
>
> > > > contention that EVERYONE trading stocks or MF's compounds in
one
>
>
> > way
>
>
> > > or
>
>
> > >
>
>
> > >
>
>
> > > > another. (Futures because of the inherent leverage is a
>
>
> > different
>
>
> > > ball
>
>
> > >
>
>
> > >
>
>
> > > > game).
>
>
> > >
>
>
> > >
>
>
> > > >
>
>
> > >
>
>
> > >
>
>
> > > > By this I mean if today you have $1mm in equity and you get a
> buy
>
>
> > > signal
>
>
> > >
>
>
> > >
>
>
> > > > or a bunch of buy signals you invest your $1mm in one vehicle
or
>
>
> > you
>
>
> > >
>
>
> > >
>
>
> > > > invest $10K each in potentially 100 vehicles i.e. you
> potentially
>
>
> > > get
>
>
> > >
>
>
> > >
>
>
> > > > 100% invested. By the time you have grown that original $1mm
to
>
>
> > > $2mm
>
>
> > >
>
>
> > >
>
>
> > > > you are either investing your $2mm in one vehicle or you are
>
>
> > > investing
>
>
> > >
>
>
> > >
>
>
> > > > $10K each in potentially 200 vehicles i.e. you potentially
get
>
>
> > 100%
>
>
> > >
>
>
> > >
>
>
> > > > invested.
>
>
> > >
>
>
> > >
>
>
> > > >
>
>
> > >
>
>
> > >
>
>
> > > > Isn't this the way we all invest/trade ? Are those that say
> they
>
>
> > >
>
>
> > >
>
>
> > > > disdain compounding really saying that when they've grown
their
>
>
> > $1mm
>
>
> > > to
>
>
> > >
>
>
> > >
>
>
> > > > $2mm that when they get a bunch of buy signals they are still
>
>
> > > investing
>
>
> > >
>
>
> > >
>
>
> > > > only $1mm and leaving the other $1mm in money market ? If
> that's
>
>
> > > what
>
>
> > >
>
>
> > >
>
>
> > > > you're doing then I'll take you at your word that you are not
>
>
> > >
>
>
> > >
>
>
> > > > compounding and have accepted the fact that over time you
will
> get
>
>
> > >
>
>
> > >
>
>
> > > > declining returns on a percentage basis, but if you are
>
>
> > potentially
>
>
> > >
>
>
> > >
>
>
> > > > investing 100% even as equity grows then you are
compounding.
>
>
> > You
>
>
> > > may
>
>
> > >
>
>
> > >
>
>
> > > > not be increasing bet size but you are compounding never the
>
>
> > less.
>
>
> > >
>
>
> > >
>
>
> > > >
>
>
> > >
>
>
> > >
>
>
> > > > Fred
>
>
> > >
>
>
> > >
>
>
> > > >
>
>
> > >
>
>
> > >
>
>
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Bob Jagow" <bjagow@xxxx>
> wrote:
>
>
> > >
>
>
> > >
>
>
> > > > > Fred,
>
>
> > >
>
>
> > >
>
>
> > > > > Though I innately rebel at pyramiding, AB would afford me
> great
>
>
> > >
>
>
> > >
>
>
> > > > pleasure by,
>
>
> > >
>
>
> > >
>
>
> > > > > as a 1st step, accepting subsequent buy signals that
> deserving
>
>
> > >
>
>
> > >
>
>
> > > > > tickers.triggered.
>
>
> > >
>
>
> > >
>
>
> > > > >
>
>
> > >
>
>
> > >
>
>
> > > > > Regards,
>
>
> > >
>
>
> > >
>
>
> > > > > Bob
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