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RE: [amibroker] Re: more positionsize results I don't understand



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<SPAN 
class=173411621-17092003>here's the short trade list and comments I posted 
earlier:
<SPAN 
class=173411621-17092003> 
<SPAN 
class=173411621-17092003>--------------------------
<SPAN 
class=173411621-17092003>these are the first two trades in one of the stocks at 
100% positionsize:
 
<SPAN 
class=173411621-17092003>Profit    
Position948.62    10,000.00276.68    
10,948.60
 
<SPAN 
class=173411621-17092003>the first trade made $948.62 profit, which the second 
trade invested, takinga $10,948.60 position.
 
<SPAN 
class=173411621-17092003>here's the same two trades at 10% 
positionsize:
 
<SPAN 
class=173411621-17092003>Profit    
Position94.86     1,000.0025.51     
1,009.49
 
<SPAN 
class=173411621-17092003>the first trade made $94.86 profit, but the second one 
invested only 10% ofthat profit, taking a $1,009.49 position. 
<SPAN 
class=173411621-17092003>--------------------------
<SPAN 
class=173411621-17092003> 
<SPAN 
class=173411621-17092003>seems pretty clear, and not what i'd 
expect.
<SPAN 
class=173411621-17092003> 
<SPAN 
class=173411621-17092003>I am looking forward to 4.5's enhanced portfolio 
testing capabilities, but in the mean time, I'm trying to make sure I understand 
how things work now. Tomasz, if you have time for a comment, it'd be 
appreciated.
<SPAN 
class=173411621-17092003> 
<SPAN 
class=173411621-17092003>thanks,
<SPAN 
class=173411621-17092003> 
<SPAN 
class=173411621-17092003>dave
<SPAN 
class=173411621-17092003> 
<BLOCKQUOTE 
>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 ...






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