|
PureBytes Links
Trading Reference Links
|
Dave,
If your position size is set to 10% of equity it
means
10% of TOTAL current equity.
Your total initial equity was 10000.
You have entered first positon, 10% of total equity has been
put into trade.
Now your first trade earns $94.86 ,
then TOTAL equity at the time when you enter SECOND
trade is 10094.86. Now 10% from TOTAL equity is
1009.486.
In other words PositionSize refers to TOTAL available
equity.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dave Merrill
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, September 17, 2003 11:24
PM
Subject: RE: [amibroker] Re: more
positionsize results I don't understand
<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 ...Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
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 the Yahoo! Terms of Service.
|