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I'm working on a system that trades 10 specifically selected stocks, testing
it one year at a time.
with positionsize = -100, meaning each stock gets the full account value
(not really possible), I get the following results for 1996:
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Sym Net profit Net profit %
------------------------------
AAPL 15,321.83 153.22%
ADBE 23,346.08 233.46%
ADPT 51,464.47 514.64%
ATML 29,491.28 294.91%
BGEN 22,812.43 228.12%
CHIR 25,088.06 250.88%
ERTS 75,242.38 752.42%
FHCC 15,389.41 153.89%
GENZ 27,149.30 271.49%
PMTC 93,473.38 934.73%
------------------------------
Total net profit: 378,778.62
Total commissions paid: 0.00
Return on account: 378.78 %
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with everything the same except positionsize = -10, meaning each stock gets
1/10 of the account value, I get the following:
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Sym Net profit Net profit %
------------------------------
AAPL 1,096.32 10.96%
ADBE 1,472.92 14.73%
ADPT 2,174.68 21.75%
ATML 1,692.43 16.92%
BGEN 1,354.57 13.55%
CHIR 1,423.11 14.23%
ERTS 2,580.50 25.81%
FHCC 1,029.65 10.30%
GENZ 1,518.68 15.19%
PMTC 2,777.24 27.77%
------------------------------
Total net profit: 17,120.11
Total commissions paid: 0.00
Return on account: 17.12 %
------------------------------
I don't understand this. why aren't the results with 1/10th the positionsize
pretty much exactly 1/10th of the full positionsize results? commission is
set to $0 in settings, so that shouldn't be it.
with full positionsize, each stock makes at least a reasonable one year
return, and the average of those (total return on account) is also pretty
decent. however, neither the dollar or percentage returns on the smaller
positions are even close to 1/10th what they are for the full positions.
obviously, I don't understand something important, either about AB's
reporting, or some real-world account scaling issue. it matters a lot in
this case. I wouldn't mind the returns from the first set, but the second
set, the one that's like reality, isn't worth the execution effort.
Dave Merrill
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