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PureBytes Links
Trading Reference Links
|
Individual issues standing on their own has nothing to do with how
invested one gets ...
With regards to the site you mention, the site owner in a post has
stated that he finds DD's < 50% to be acceptable ...
Do I really need to read any farther ?
--- In amibroker@xxxxxxxxxxxxxxx, "tchan95014" <tchan95014@xxxx>
wrote:
> Fred,
>
> I think you get different perspective from different approaches you
> take.
>
> I do not know if you use portfolio in you system (I guess you do),
in
> this case, I agree with Chuck on each member should stand on its
own,
> because compounding effect can cover up some weak performers due to
> one shot great gain. [ Someone copied from another board written by
> Palmer Wright discussed about this issue earlier, if you go and
follow
> that board, you will find more discussions there. In his and others
> earlier writings there, some excellent discussions about position
> sizing were presented]
>
> This is why these postings are so great, they bring so many
different
> opinions to the table that allow us to think differently.
>
> There is a new forum worth following:
> www.turtletradingsoftware.com/forum/
>
> Thomas
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
>
>
> > 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
>
>
> > >
>
>
> > >
>
>
> > > > >
>
>
> > >
>
>
> > >
>
>
> > > > >
>
>
> > >
>
>
> > >
>
>
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> > > > > > > Regards,
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> > > > > > > Bob
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