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Thank you, Tomasz. I knew you'd set me straight. This leads me to ask the
following question: often, I use a position size statement as follows:
PositionSize = -1 * BuyPrice/(2*ATR(10));
In this case, I'm investing 1% of my current equity in the trade, but the
position size amount is variable because I'm mulitplying that dollar amount
by the buyprice divided by the volatility. So, each trade will have a
different amount invested due to differences in the buyprice and volatility.
Perhaps that is what I meant when I said the percentage figures will be
inaccurate and that one should use the actual dollar amounts to judge the
performance of a system. Is this right, or am I still misstating the
situation? Maybe the word "inaccurate" is incorrect. If so, what word would
better represent what I'm describing? TIA.
Al V.
>On Wed, 17 Sep 2003 16:35:42 0200 Tomasz Janeczko <amibroker@xxxxxx>
wrote.
>Indeed esults are accurate but always related to total initial equity,
>regardless of position size you set with each trade. If you have
>90f equity in cash your percentage risk/drawdown/etc is of course 1/10
>of values that you would expect trading 100f 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 ddnnual 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 igures are accurate. But in the
>-10 case, 90f your equity is idle and not participating in the trading,
>so the annual returns and max dd 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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