Re: [amibroker] not understanding positionsize

["Al Venosa" <advenosa@xxxxxxxxxxxx>]

Dave,
 
Amibroker, at least the current version, assumes that your entire portfolio 
is comprised of only one stock. It is not capable of portfolio backtesting. So, 
whenever you specify a negative position size, it means to use that percent of 
CURRENT equity (i.e., compounded). So, for your code, -100/max_positions, when 
max_positions=5,  means that it invests 100/5 or 20% of your current equity 
on this particular trade. It has nothing to do with no. of positions. Each stock 
you are testing gets 20% of current equity invested in that stock. If your 
current equity is, say, $1,000,000, then $200,000 is invested in each stock (if 
max_positions is the default of 5). TJ said that version 4.5 will allow 
portfolio testing, so all of this will change with that version of AB. I think 
that's what lots of people are anxiously awaiting. 
 
AV
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Dave Merrill 
  
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">AmiBroker 
  Sent: Friday, September 12, 2003 4:03 
  PM
  Subject: [amibroker] not understanding 
  positionsize
  my apologies, since I know this gets discussed a lot, but I 
  don't get howpositionsize works.say I have a strategy that 
  operates on a watchlist of stocks, any number ofwhich may generate a buy 
  or a short at any time. it's a fast system,generating a lot of trades, 
  potentially overlapping each other. I want tolook at how profitability and 
  drawdown are affected by the maximum number ofpositions I take. I've 
  unchecked 'Allow position size shrinking' in AAsettings, so my thinking 
  was that if positionsize was -50, 2 positions couldbe opened at once, -10 
  would allow 10 positions, etc.but when I look at the trade list of a 
  backtest with a positionsize of -100,15 positions get opened on the first 
  day of the test. when I optimizemax_positions, the number of trades shown 
  in the optimization results isalways the same, though profitability does 
  change, so *something* ishappening.obviously, I don't understand 
  how positionsize works.here's the positionsize code:  
  max_positions = Optimize("max_positions", 5, 1, 20, 1);  positionsize 
  = -(100 / max_positions);I'm sure I'm doing something dumb, but I 
  don't get it.Dave MerrillSend 
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