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Indeed % results are accurate but always related to total initial equity,
regardless of position size you set with each trade. If you have
90% of equity in cash your percentage risk/drawdown/etc is of course 1/10
of values that you would expect trading 100% of your funds.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "advenosa" <advenosa@xxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, September 17, 2003 3:55 PM
Subject: Re: RE: RE: [amibroker] Re: more positionsize results I don't understand
Dave,
On several occasions on this board, long ago, TJ said that, when using
positionsize statements (other than -100), any number reported in the html
report (like max dd%, % annual return, etc.) in terms of percent will not be
accurate since the program calculates these percentages on the basis of
total equity rather than amount invested per trade. The actual dollar
amounts are accurate, but not the percentage amounts. Since, in the -100
case, everything is being reinvested, the % figures are accurate. But in the
-10 case, 90% of your equity is idle and not participating in the trading,
so the annual returns and max dd %'s are much different from what they would
be otherwise. Perhaps one workaround might be for you to use 1/10th of your
equity and still use -100 as your position size to compare against the full
equity at -100 position size. In that case, you should get exactly the same
output in terms of percentages. If I said something wrong, I'm sure TJ will
interject here.
AV
>On Wed, 17 Sep 2003 09:13:32 -0400 Dave Merrill <dmerrill@xxxxxxx> wrote.
><html><body>
>
>
><tt>
>hi AV, thanks for stepping in.<BR>
><BR>
>the following result columns were the same at 100nd 10osition sizes;<BR>
>the rest were different:<BR>
> Trades, # of winners, # of losers, Exposure<BR>
><BR>
>looking at individual trades for the first stock, the trade dates,
prices<BR>
>and hange are the same, so the issue appears to be something about the<BR>
>way results are reported, not actual investment performance.<BR>
><BR>
>here's the 100ase (hope this is readable):<BR>
><BR>
>-------------------------------------------------------------<BR>
>Profit rofit Shares Position Cum. Profit<BR>
>-------------------------------------------------------------<BR>
>948.62 9.50bsp; 632.41 10,000.00 948.62<BR>
>276.68 2.50bsp; 632.41 10,948.60 1,225.30<BR>
>-1,122.53 -10.00bsp; 665.20 11,225.30 102.77<BR>
>-1,122.53 -11.10bsp; 665.20 10,102.80 -1,019.76<BR>
>1,526.64 17.00bsp; 604.98 8,980.24 506.88<BR>
>-53.07 -0.50bsp; 849.04 10,506.90 453.81<BR>
>420.25 4.00bsp; 840.51 10,453.80 874.07<BR>
>-1,087.41 -10.00bsp; 840.51 10,874.10 -213.34<BR>
>43.89 0.40bsp; 702.18 9,786.66 -169.46<BR>
>1,671.19 17.00bsp; 702.18 9,830.54 1,501.74<BR>
>1,955.29 17.00bsp; 1,088.92 11,501.70 3,457.03<BR>
>3,194.83 23.70bsp; 1,549.01 13,457.00 6,651.87<BR>
>1,195.99 7.20bsp; 1,471.99 16,651.90 7,847.86<BR>
>1,593.56 8.90bsp; 1,699.80 17,847.90 9,441.42<BR>
>-106.24 -0.50bsp; 1,699.80 19,441.40 9,335.18<BR>
>-1,933.52 -10.00bsp; 1,681.32 19,335.20 7,401.66<BR>
>3,518.37 20.20bsp; 1,521.46 17,401.70 10,920.00<BR>
>-429.13 -2.10bsp; 1,716.52 20,920.00 10,490.90<BR>
>0.00 0.00bsp; 1,647.51 20,490.90
10,490.90<BR>
>2,059.39 10.10bsp; 1,647.51 20,490.90 12,550.30<BR>
>881.85 3.90bsp; 2,015.67 22,550.30 13,432.10<BR>
>1,889.69 8.10bsp; 2,015.67 23,432.10 15,321.80<BR>
>-------------------------------------------------------------<BR>
><BR>
>here's the 10ase:<BR>
><BR>
>-------------------------------------------------------------<BR>
>Profit rofit Shares Position Cum. Profit<BR>
>-------------------------------------------------------------<BR>
>94.86 0.90bsp; 63.24 1,000.00
94.86<BR>
>25.51 0.30bsp; 58.31 1,009.49
120.37<BR>
>-101.20 -1.00bsp; 59.97 1,012.04 19.17<BR>
>-111.32 -1.10bsp; 65.97 1,001.92 -92.16<BR>
>168.43 1.70bsp; 66.75 990.78 76.28<BR>
>-5.09 -0.10bsp; 81.42 1,007.63 71.19<BR>
>40.49 0.40bsp; 80.97 1,007.12
111.68<BR>
>-101.12 -1.00bsp; 78.16 1,011.17 10.56<BR>
>4.49 0.00bsp; 71.82 1,001.06 15.05<BR>
>170.26 1.70bsp; 71.54 1,001.50 185.30<BR>
>173.15 1.70bsp; 96.43 1,018.53 358.45<BR>
>245.92 2.40bsp; 119.23 1,035.85 604.37<BR>
>76.16 0.70bsp; 93.74 1,060.44
680.54<BR>
>95.36 0.90bsp; 101.72 1,068.05 775.90<BR>
>-5.89 -0.10bsp; 94.22 1,077.59 770.01<BR>
>-107.70 -1.00bsp; 93.65 1,077.00 662.31<BR>
>215.58 2.00bsp; 93.22 1,066.23 877.89<BR>
>-22.31 -0.20bsp; 89.25 1,087.79 855.58<BR>
>0.00 0.00bsp; 87.28 1,085.56
855.58<BR>
>109.10 1.00bsp; 87.28 1,085.56 964.68<BR>
>42.88 0.40bsp; 98.01 1,096.47
1,007.55<BR>
>88.77 0.80bsp; 94.69 1,100.76
1,096.32<BR>
>-------------------------------------------------------------<BR>
><BR>
>first off, it looks like eturns are rounded to tenths of a percent.
this<BR>
>and other rounding may make a difference, but if that's the only issue,
it's<BR>
>surprising to me how significant it is. outside of that and the x10
scaling,<BR>
>rofit is the same for each trade. I tried rasing the initial account<BR>
>equity to $1M, and percentages stayed the same.<BR>
><BR>
>by the end, the 100ersion has made a profit of $15,321.80 or 143.2f<BR>
>its original $10k investment. the 10ersion has made $1,096.32, only<BR>
>99.63f its original $1k.<BR>
><BR>
>things diverge immediately. the first trade is reported as making $948.62,
a<BR>
>9.50rofit in the 100ase, and making $94.86, a 0.90rofit in the 10R>
>case. odd, especially seeing as the reported profit s higher in the 100R>
>case, but the dollar amount is a smaller fraction.<BR>
><BR>
>simple version: I have 10 stocks, the worst performing of which
returned<BR>
>more than 150rofit that year when traded this way, if you believe the<BR>
>100esults. investing the entire account equally in all of them should<BR>
>give at least a 150rofit overall, by any intuitive logic I can see.<BR>
>returns should actually be considerably better than that minimum, since
all<BR>
>but 2 give over 200eturn, and 3 are over 500but when I do that equal<BR>
>split in AB, the individual stock returns are way lower, and the
overall<BR>
>return is about 17BR>
><BR>
>big difference. one's not too shabby, the other's well below the 21.95R>
>return of !COMP that year.<BR>
><BR>
>???<BR>
><BR>
>dave<BR>
><BR>
>==========================================================================<BR>
>AV wrote:<BR>
><BR>
>When comparing 100s. 10osition sizes without changing anything else,<BR>
>even though you got different profits, was everything else the same (i.e.,
R>
>profitable trades, W/L ratio, profit factor, no. of trades, etc.,
etc.)?<BR>
>When you set positionsize = -10, you are committing 10f your current<BR>
>equity to each trade and reinvesting the profits from that trade into
the<BR>
>next one, etc. The other 90s sitting idle. It's as if you set your<BR>
>position size at -100 but your equity at 1/10 the equity of the -100<BR>
>scenario. Also, do you have positionsize shrinking checked or unchecked?
If<BR>
>it was unchecked, you might not have had enough equity to have made a
trade<BR>
>using the -10 setting as in the -100 setting, although with stocks,
since<BR>
>you can buy 1 share at a time, this shouldn't be a problem. I can't think
of<BR>
>anything else that could be giving you these differences. Fred
suggested<BR>
>that the -100 situation should give 10 times the profits as the -10<BR>
>situation. However, since the compound interest equation is involved in
the<BR>
>computations, I suspect that the differences may not be linear as Fred<BR>
>suggested.<BR>
><BR>
>AV<BR>
><BR>
></tt>
>
><br>
>
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