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<SPAN
class=924594718-17092003>fred, I appreciate your patience with me, must be I've
got a blind spot today... or not...
<SPAN
class=924594718-17092003>
<SPAN
class=924594718-17092003>I shouldn't have brought up total account growth rate
at all. of course that depends on whether you're inveesting the actual account
size or ten times that.
<SPAN
class=924594718-17092003>
<SPAN
class=924594718-17092003>and I do understand Tomasz' msg that percentage
profit shown for each stock is relative to the total account balance. that
means that if each stock invests 1/10th as much, its percentage return will
be 1/10th as large.
<SPAN
class=924594718-17092003>
<SPAN
class=924594718-17092003>
<SPAN
class=924594718-17092003>but did you look at the individual trades I posted? why
are only 10% of the profits from the first trade invested in the second trade
when positionsize is 10%?
<SPAN
class=924594718-17092003>
<SPAN
class=924594718-17092003>it seems to me that this is the reason <SPAN
class=924594718-17092003>that the dollar return on each individual stock in the
10% case are disproportionately low, less than 1/10th of the 100% case. the
entry price, exit price, and percentage price change are the same in both cases.
what's different is the size of the positions taken -- 90% of any profits made
don't get reinvested, so they don't compound.
<SPAN
class=924594718-17092003>
<SPAN
class=924594718-17092003>am I making any sense, or still
deluded?
<SPAN
class=924594718-17092003>
<SPAN
class=924594718-17092003>dave
<SPAN
class=924594718-17092003>
<BLOCKQUOTE
>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
#2i.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>
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