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Hi Tomasz,
>> Okay, I think I don't need that, because I use a PositionSize
>> statement inside my formula which sets the share amount per
>> symbol. This has basically the same affect by controlling the
>> number of shares in each position, again based on symbol.
TJ> True.
>> TJ> Now if your system generates more signals simultaneously than
>> TJ> available cash or max. num of open positons then it will drop
>> TJ> some of the possible trades and enter only those that have TJ>
>> highest scores.
>>
>> This is a nice idea, and some day I might use the PBT this way. For
>> the moment however, the best thing about it for me is that it
>> correctly states (at least I think it does) the max. sys. DD, which
>> on the other backtester simply gave the largest max. sys. DD from any
>> one of the symbols tested, rather than the total. Am I right about
>> this? Of course, the other scoring information is great too, and the
>> bar-by-bar detailed report is fantastic.
TJ> Yes. Max system drawdown reports the biggest peak-valley distance
TJ> in total portfolio equity. There is also entire porfolio equity chart
TJ> displayed after backtest.
Yes, this is very nice.
>> Now, given the way I want to use this at the moment (enough cash to
>> ensure all possible positions are taken), is there any reason why the
>> net result (profit or loss) run on the same stocks for the same
>> period would not be exactly the same?
TJ> Yes there is a reason: compounding.
TJ> I am not sure if you are using it or not. If your positions grow as
TJ> porfolio value grows then results in portfolio backtest would be different.
TJ> Also when it happens that your system loses money then it would
TJ> be possible that certain positions could not be taken.
Not using compounding, but a fixed share size per trade, per symbol.
I can't really use compounding, because eventually I get to a point
where I start becoming a market maker ^_^ (or at least I start
influencing the prices I trade at, which is something I avoid at all
cost).
TJ> Third reason: if you are using the following settings:
TJ> "Activate Stops immediatelly" turned ON
TJ> and
TJ> "Allow Same Bar Exit (single bar trade)" turned OFF
Okay, I've set these OFF and ON respectively, although I do not use
single bar exits.
Will test more and report if there is anything I can't understand.
Thanks,
Yuki
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