|
PureBytes Links
Trading Reference Links
|
It's not about POSITIONSIZE ... it's about COMPOUNDING ...
AGAIN ... The first situation you described was 10 stocks each of
which trade the full account balance .vs. the second situation which
was 10 stocks each of which trade 10% of the account balance.
This is simple math ... situation #1 compound an order of magnitude
faster then situation #2
i.e.
Situation 1 w/10% gains on each stock means account balance is
DOUBLED after the first set of trades, QUADRUPLED after the second
set and so on ...
Situation 2 w/10% gains has a 10% gain after the first set of trades
and 21% after the second set and so on.
So after both are done with the first set of trades there's a 10x1
ratio in gains, but after the second set the ratio is 20x1 ...
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> sorry if I'm being thick, but are you saying that only part of the
profits
> is reinvested in the 10% case because it's made available to the
other
> stocks?
>
> my understanding was that each stock is given the initial fraction
of the
> account specified by positionsize, then after that, each stock is
calculated
> independently. they compound their own gains and losses, but gains
and
> losses from other holdings are irrelevant. is that correct?
>
> I compared trade lists with 2 stocks and 1 stock, both at 100%
position, and
> for the 1 stock included in both tests, they're identical. if
profits from
> one stock were available to the other, I'd expect the dollar amount
of those
> positions to vary, depending to the profitability of the 2nd stock.
the fact
> that they're the same reinforces my impression that trades for the
two
> stocks are completely independent.
>
> if that's the case, my question stands: why are only 10% of the
profits from
> the first trade used for the second trade when positionsize is 10%?
>
> apologies again if I'm missing the obvious...
>
> dave
> I thought my simple math explanation would have sufficed but
> apparently it didn't ...
>
> Example 1: You have 10,000 initial equity ... you invest it all in
> XYZ which goes up 10% so you have 100 profit and 10,100 total
equity
> to reinvest.
>
> Example 2: You have 10,000 initial equity ... you invest 10% of
it or
> 1,000 in XYZ which goes up 10% so you have 10 profit and 10,010 to
> reinvest NOT 10,100 because the 10% gain was on the amount
invested
> not on the initial equity because 90% of the initial equity was
> either still in cash or invested in something else.
>
> Fred
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> wrote:
> > thanks Tomasz, I realized that the percentage figures must be
> relative to
> > the entire account size.
> >
> > however, the way profits are reinvested if positionsize isn't
100%
> seems
> > very strange to me, possibly not what you intend.
> >
> > look at these two trades, the first two in one of the stocks at
100%
> > positionsize:
> >
> > Profit Shares Position
> > 948.62 632.41 10,000.00
> > 276.68 632.41 10,948.60
> >
> > the first trade made $948.62 profit, which the second trade
> invested, taking
> > a $10,948.60 position.
> >
> > here's the same two trades with 10% positionsize:
> >
> > Profit Shares Position
> > 94.86 63.24 1,000.00
> > 25.51 58.31 1,009.49
> >
> > the first trade made $94.86 profit, but the second one invested
> only 10% of
> > that profit, taking a $1,009.49 position. that doesn't make
sense
> to me.
> >
> >
> > am I off base here? in what situations is this behavior
> appropriate? is
> > there any way to get AB to invest all profits from each stock if
> > positionsize isn't 100%?
> >
> > thanks,
> >
> > dave
> >
> >
> > > 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
>
>
> Yahoo! Groups Sponsor
> ADVERTISEMENT
>
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> 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 the Yahoo! Terms of
Service.
------------------------ 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/
|