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



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It's EXACTLY what I'd expect ...

In the first situation you are investing the ENTIRE balance in every 
trade.  You're first trade brought the acct balance up by 948.60 and 
so it used the ENTIRE balance in the second trade.

In the second situation you are investing 10% of your balance in 
every trade.  Your first trade prought the account balance up by 
94.86 or 1/10 of what you got in situation 1.  Your second trade is 
again investing 10% of the acct balance which is what it did.  
Where's the confusion ?

--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx> 
wrote:
> here's the short trade list and comments I posted earlier:
> 
> --------------------------
> these are the first two trades in one of the stocks at 100% 
positionsize:
> 
> Profit    Position
> 948.62    10,000.00
> 276.68    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 at 10% positionsize:
> 
> Profit    Position
> 94.86     1,000.00
> 25.51     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.
> --------------------------
> 
> seems pretty clear, and not what i'd expect.
> 
> 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.
> 
> thanks,
> 
> 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 ...


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