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<SPAN
class=497344210-17092003>hi fred,
<SPAN
class=497344210-17092003>
<SPAN
class=497344210-17092003>I understand that without impossible margin borrowing,
you can't trade each of 10 stocks at the full value of the account,
and that the total account returns of that would be unrealisically high.
positionsize = -10 is the unmargined reality.
<SPAN
class=497344210-17092003>
<SPAN
class=497344210-17092003>but what I don't understand is the change in the
individual stock returns in the positionsize = -10 case. why aren't they pretty
close to 1/10th of the margined case?
<SPAN
class=497344210-17092003>
<SPAN
class=497344210-17092003>dave
<BLOCKQUOTE
>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
MerrillSend
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