|
PureBytes Links
Trading Reference Links
|
Phsst,
That's not what I stated ...
What I said was ... based on fixed position sizes with fixed numbers
of positions.
Compounding of numbers of positions is virtually the same as
compounding position size in terms of the effect on the equity curve.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> Fred,
>
> I do test fixed position sizes, but not fixed numbers of positions.
>
> A trading system that is tested with fixed position sizes will yield
> system returns and dd's which are totally different from the same
> trading system that is tested with compounded position sizes. But to
> say that system returns and dd's are 'masked' by ones choice of
> position size is incorrect. Different position size methodologies
are
> simply going to yield different overall results.
>
> Remember... when I originally posted that I used fixed position size
> backtesting, there were no tools available for AB that facilitated
> true portfolio backtesting... thus backtests that were allow to
> compound generated false results.
>
> Now that you and UM have provided tools to facilitate portfolio
> backtesting I will eventually get around to looking into compounding
> stradegies.
>
> I don't claim that my way is the right way or that any other way is
> the wrong way. It is simply the way I've chosen to do it.
>
> Phsst
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > Phsst,
> >
> > Those of us who can't relate to testing based on fixed position
sizes
> > with fixed numbers of positions can't because they mask true
system
> > returns and dd's. When and if someone provides a description of
how
> > this is not so we would be happy to think about it otherwise.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> > > Chuck,
> > >
> > > I've been keeping 'grandkids on steroids' today, so I am a
little
> > > punch-drunk. I've read all the posts on this thread and have a
> > couple
> > > of comments.
> > >
> > > Your database goes back to '85. As I relate to my own
situation, my
> > > average Positionsize in '85 was only a fraction of my
Positionsize
> > > today. I've been backtesting since the late 80's, and have used
> > VOLUME
> > > for two (2) purposes... (1) to gauge price action, and (2) to
gauge
> > > liquidity as it related to MY POSITION SIZE. On the second
count, as
> > > my personal positionsize increased, so did the average volume
in the
> > > markets.
> > >
> > > As mentioned in subsequent posts on this subject, I've filtered
both
> > > my backtests and my actual trades based upon a volume multiple
of my
> > > Positionsize as opposed to x# of shares traded per day,
irrespective
> > > of price.
> > >
> > > You and I have both stated that we backtest based upon 'fixed
> > position
> > > size'. And yet other people are not able to relate to that.
They
> > seem
> > > to think that everyone 'compounds' their trades on a daily basis
> > > depending upon their account size growth or demise as a direct
> > result
> > > of trading results. The truth (for me) is a compromise... As my
> > > account size grows(whether thru trade profits or savings) I
> > gradually
> > > increase my Positionsize, but it is not directly proportional to
> > > trading success.
> > >
> > > So in my mind, increases in actual market trading volume are
just
> > > about proportional to increases in my own account size, and are
> > > therefore a 'non-issue'.
> > >
> > > Another issue for me is your multiple posts relating to
prefering
> > > non-split adjusted data.
> > >
> > > Every time you've mentioned your preference for 'non-split
adjusted
> > > data', I've chosen to ignore the subject rather than to open it
up
> > as
> > > an issue.
> > >
> > > But it is time to ask the crucial question... if you really use
> > > non-split adjusted data, how do you account for stock splits in
your
> > > backtest results where a 2 for 1, or 3 dor 2, or 4 for 5 stock
split
> > > has occurred. For example if your system generates a trade when
the
> > > stock price is at 50, and a 2 for 1 split occurs dropping the
price
> > to
> > > 25 (reducing your position by one-half), how in the heck do you
> > > account for the price reduction which did not REALLY account
for a
> > > loss in your 'real life account' but which devasted your
backtest
> > results?
> > >
> > > Just curious.
> > >
> > > Phsst
> > >
> > >
> > >
> > >
> > >
> > > groups.com, "Chuck Rademacher" <chuck_rademacher@x> wrote:
> > > > I was about to send this email to "b", but I would welcome
> > comments from
> > > > anyone else interested in such historical work.
> > > >
> > > > At the risk of having some of you ask why it matters, my
> > backtesting
> > > > generally goes back to 1985. Just yesterday, I posted a
message
> > > to this
> > > > group saying that I always use one set of parameters across
all
> > > stocks and
> > > > across all timeframes. One of the downsides of this approach
> > > (perhaps) is
> > > > that volume has changed over time. I suppose that one could
> > argue that
> > > > volatility changes over time as well. Volatility, however,
goes
> > > through
> > > > cycles and volume just keeps growing.
> > > >
> > > > The question that I have involves volume filtering. To me,
it is
> > > essential
> > > > that volume filters be applied to actual volume and not
> > backadjusted
> > > volume.
> > > > My concern, however, is that if I apply a filter requiring an
> > average of
> > > > 300,000 shares, I don't get very many hits back in the late
80's
> > and
> > > early
> > > > 90's.
> > > >
> > > > I have a solution in mind and would appreciate some input or
> > > dialogue on the
> > > > subject. It seems to me that volume filtering should be
based
> > on some
> > > > percentage of the total volume of all NYSE stocks (for
> > instance). I
> > > > haven't done my homework yet, but let's say that the average
> > volume
> > > today is
> > > > ten times more than it was in 1985. If I decide to filter
today
> > at
> > > 300,000
> > > > shares, wouldn't it make sense to filter based on 30,000
shares in
> > > 1985. I
> > > > can probably answer that question myself by saying that I
don't
> > > think 30,000
> > > > would be an adequate filter in 1985. But I could scale it
from
> > > 100,000 to
> > > > 300,000 progressively between 1985 and 2003 based on
mathematical
> > > equation.
> > > >
> > > > You may ask why backtesting to 1985 (or any other date) is
> > important.
> > > > There are dozens of reasons, but the most important reason to
me
> > is that
> > > > prospective investors in any funds that I manage want to see
how a
> > > proposed
> > > > system would have performed over a statistically meaningful
period
> > > of time.
> > > > You can argue about the relevance of such information, but
THEY
> > > EXPECT TO
> > > > SEE IT. For the record, I also think that it is very
important.
> > > >
> > > > I welcome comments from anyone with an interest or knowledge
in
> > this
> > > area.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Get A Free Psychic Reading! Your Online Answer To Life's Important Questions.
http://us.click.yahoo.com/Lj3uPC/Me7FAA/ySSFAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|