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Dave,
Trading EACH of 10 securities at 100% of account value is equivalent
to trading on 10% margin.
If each security for example had a 100% gain then the mythical
account has a 1000% gain as opposed to the 100% gain you would have
had trading on a cash basis.
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> 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:
>
> ------------------------------
> 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 %
> ------------------------------
>
> with everything the same except positionsize = -10, meaning each
stock gets
> 1/10 of the account value, I get the following:
>
> ------------------------------
> 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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