|
PureBytes Links
Trading Reference Links
|
hi AV, thanks for stepping in.
the following result columns were the same at 100% and 10% position sizes;
the rest were different:
Trades, # of winners, # of losers, Exposure
looking at individual trades for the first stock, the trade dates, prices
and % change are the same, so the issue appears to be something about the
way results are reported, not actual investment performance.
here's the 100% case (hope this is readable):
-------------------------------------------------------------
Profit % Profit Shares Position Cum. Profit
-------------------------------------------------------------
948.62 9.50% 632.41 10,000.00 948.62
276.68 2.50% 632.41 10,948.60 1,225.30
-1,122.53 -10.00% 665.20 11,225.30 102.77
-1,122.53 -11.10% 665.20 10,102.80 -1,019.76
1,526.64 17.00% 604.98 8,980.24 506.88
-53.07 -0.50% 849.04 10,506.90 453.81
420.25 4.00% 840.51 10,453.80 874.07
-1,087.41 -10.00% 840.51 10,874.10 -213.34
43.89 0.40% 702.18 9,786.66 -169.46
1,671.19 17.00% 702.18 9,830.54 1,501.74
1,955.29 17.00% 1,088.92 11,501.70 3,457.03
3,194.83 23.70% 1,549.01 13,457.00 6,651.87
1,195.99 7.20% 1,471.99 16,651.90 7,847.86
1,593.56 8.90% 1,699.80 17,847.90 9,441.42
-106.24 -0.50% 1,699.80 19,441.40 9,335.18
-1,933.52 -10.00% 1,681.32 19,335.20 7,401.66
3,518.37 20.20% 1,521.46 17,401.70 10,920.00
-429.13 -2.10% 1,716.52 20,920.00 10,490.90
0.00 0.00% 1,647.51 20,490.90 10,490.90
2,059.39 10.10% 1,647.51 20,490.90 12,550.30
881.85 3.90% 2,015.67 22,550.30 13,432.10
1,889.69 8.10% 2,015.67 23,432.10 15,321.80
-------------------------------------------------------------
here's the 10% case:
-------------------------------------------------------------
Profit % Profit Shares Position Cum. Profit
-------------------------------------------------------------
94.86 0.90% 63.24 1,000.00 94.86
25.51 0.30% 58.31 1,009.49 120.37
-101.20 -1.00% 59.97 1,012.04 19.17
-111.32 -1.10% 65.97 1,001.92 -92.16
168.43 1.70% 66.75 990.78 76.28
-5.09 -0.10% 81.42 1,007.63 71.19
40.49 0.40% 80.97 1,007.12 111.68
-101.12 -1.00% 78.16 1,011.17 10.56
4.49 0.00% 71.82 1,001.06 15.05
170.26 1.70% 71.54 1,001.50 185.30
173.15 1.70% 96.43 1,018.53 358.45
245.92 2.40% 119.23 1,035.85 604.37
76.16 0.70% 93.74 1,060.44 680.54
95.36 0.90% 101.72 1,068.05 775.90
-5.89 -0.10% 94.22 1,077.59 770.01
-107.70 -1.00% 93.65 1,077.00 662.31
215.58 2.00% 93.22 1,066.23 877.89
-22.31 -0.20% 89.25 1,087.79 855.58
0.00 0.00% 87.28 1,085.56 855.58
109.10 1.00% 87.28 1,085.56 964.68
42.88 0.40% 98.01 1,096.47 1,007.55
88.77 0.80% 94.69 1,100.76 1,096.32
-------------------------------------------------------------
first off, it looks like % returns are rounded to tenths of a percent. this
and other rounding may make a difference, but if that's the only issue, it's
surprising to me how significant it is. outside of that and the x10 scaling,
% profit is the same for each trade. I tried rasing the initial account
equity to $1M, and percentages stayed the same.
by the end, the 100% version has made a profit of $15,321.80 or 143.2% of
its original $10k investment. the 10% version has made $1,096.32, only
99.63% of its original $1k.
things diverge immediately. the first trade is reported as making $948.62, a
9.50% profit in the 100% case, and making $94.86, a 0.90% profit in the 10%
case. odd, especially seeing as the reported profit % is higher in the 100%
case, but the dollar amount is a smaller fraction.
simple version: I have 10 stocks, the worst performing of which returned
more than 150% profit that year when traded this way, if you believe the
100% results. investing the entire account equally in all of them should
give at least a 150% profit overall, by any intuitive logic I can see.
returns should actually be considerably better than that minimum, since all
but 2 give over 200% return, and 3 are over 500%. but when I do that equal
split in AB, the individual stock returns are way lower, and the overall
return is about 17%.
big difference. one's not too shabby, the other's well below the 21.95%
return of !COMP that year.
???
dave
==========================================================================
AV wrote:
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
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for Your HP, Epson, Canon or Lexmark
Printer at Myinks.com. Free s/h on orders $50 or more to the US & Canada. http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/l.m7sD/LIdGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|