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Hello,
Cell
C4 of the ProSizer has a title: “margin or cost per lot $”, by
using this value, one can easily ‘normalize’ the transaction by
using a fixed dollar positionsize in AB. For example, positionsize = 10000;
then enter this 10000 in cell C4. Of course, you will need to find ways to
calculate ‘risk’ and ‘volatility’ for using this
approach.
There
is no need to fill in all 3 entry columns. ‘profit’ column is the
only one you need, but then you can not explore more advanced position sizing
capabilities. With only ‘profit’ column entered, you can explore fixed%
equity and fixed ratio. You can not play on fixed % of equity as well as volatility
% of equity.
Personally,
I think cell J13 (%ruined) is a very good measure both for system performance
as well as personal tolerance to the user definable RUIN.
Unfortunately,
it is for single issue. When TJ formally introduces MCS (I believe it will be
flexible enough to cover so many possible applications), AB rocks!
Thomas
<span
>-----Original Message-----
From: Fred
[mailto:fctonetti@xxxxxxxxx]
Sent: Thursday,
November 06, 2003<span
> <font
size=2 face=Tahoma>9:06 AM<font
size=2 face=Tahoma>
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Prosizer
Followup
<span
>
<span
>It isn't but it wouldn't be that difficult to do in TS
and I would <span
>
think the data you need from AB could already be
gotten in that
format.
--- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser
<s9kaiser@xxxx> wrote:
> At 03:40 PM<font
size=2 face="Courier New"> 11/6/2003<font
size=2 face="Courier New"> +0000, you wrote:<font
size=2 face="Courier New">
>
> >Looking at this closer... using
profit/trade in $ as opposed to %
> >terms can introduce a whole bunch of
complications, especially when
> >comparing results on different issues or
even on the same issue if
> >there's a significant change in price
during the test period,
> >depending on system test settings.
With that said, obviously this
guy
>
> In his talk Alex said to enable comparison of
real life trades the
data
> would need to be
"normalized". I took this to mean the price data
streams
> would need to be converted to % change rather
than $.
>
> Fred is much more conversant with Easy
Language than I am. Perhaps
he
> could take a look at Alex's little module for
TS to see if that is
what
> Alex does to the exported TS
data. hint, hint
>
> Cheers
> Sid
>
>
> ---
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