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Dave,
I can't see you trade list but am I correct in assuming that there is
gap between all exits and the next round of buys ? If so then I see
your point, if not then this could be a factor. I think all issues
like this will get resolved in v4.50 ... until then ...
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> fred, I appreciate your patience with me, must be I've got a blind
spot
> today... or not...
>
> 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.
>
> 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.
>
>
> 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%?
>
> it seems to me that this is the reason 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.
>
> am I making any sense, or still deluded?
>
> dave
>
> 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
> >
> >
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