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Dave,
When comparing 100% vs. 10% position sizes without changing anything else,
even though you got different profits, was everything else the same (i.e., %
profitable trades, W/L ratio, profit factor, no. of trades, etc., etc.)?
When you set positionsize = -10, you are committing 10% of your current
equity to each trade and reinvesting the profits from that trade into the
next one, etc. The other 90% is sitting idle. It's as if you set your
position size at -100 but your equity at 1/10 the equity of the -100
scenario. Also, do you have positionsize shrinking checked or unchecked? If
it was unchecked, you might not have had enough equity to have made a trade
using the -10 setting as in the -100 setting, although with stocks, since
you can buy 1 share at a time, this shouldn't be a problem. I can't think of
anything else that could be giving you these differences. Fred suggested
that the -100 situation should give 10 times the profits as the -10
situation. However, since the compound interest equation is involved in the
computations, I suspect that the differences may not be linear as Fred
suggested.
AV
>On Wed, 17 Sep 2003 06:48:42 -0400 Dave Merrill <dmerrill@xxxxxxx> wrote.
>hi fred,
>
>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.
>
>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?
>
>dave
> Trading EACH of 10 securities at 100f account value is equivalent
> to trading on 10argin.
>
> If each security for example had a 100ain then the mythical
> account has a 1000ain as opposed to the 100ain 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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