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RE: [amibroker] Re: Prosizer Followup



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Need to correct myself.

 

<span
>With only
&#8216;profit&#8217; column entered, you can explore fixed% equity and fixed
ratio. You can not play on RISK % of equity as well as volatility % of equity.

<span
> 

<span
> 

<span
>Thomas

 

            

 

<span
>-----Original Message-----
From: Thomas Chan 
Sent: Thursday, November 06, 2003
9:13 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re:
Prosizer Followup

<span
> 

<span
>Hello,

<span
> 

<span
>           
Cell C4 of the ProSizer has a title: &#8220;margin or cost per lot $&#8221;, by
using this value, one can easily &#8216;normalize&#8217; 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 &#8216;risk&#8217; and &#8216;volatility&#8217; for using this
approach.

<span
> 

<span
>           
There is no need to fill in all 3 entry columns. &#8216;profit&#8217; column is
the only one you need, but then you can not explore more advanced position
sizing capabilities. With only &#8216;profit&#8217; column entered, you can
explore fixed% equity and fixed ratio. You can not play on fixed % of equity as
well as volatility % of equity.

<span
> 

<span
>           
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.

<span
> 

<span
>           
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!

<span
> 

<span
> 

<span
> 

<span
>Thomas

<span
> 

<span
> 

<span
> 

<span
>-----Original Message-----
From: Fred [mailto:fctonetti@xxxxxxxxx]

Sent: Thursday, November 06, 2003
9:06 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Prosizer
Followup

<span
> 

It
isn't but it wouldn't be that difficult to do in TS and I would <font
size=2 face="Courier New">
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 11/6/2003 +0000, you wrote:
> 
> >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 
> 
> 
> ---
> Outgoing mail is certified Virus Free.
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Release Date: 9/11/2003




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<span
>



<font size=2
face="Courier New">Send BUG REPORTS to
bugs@xxxxxxxxxxxxx<span
>
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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href="">http://groups.yahoo.com/group/amiquote/messages/)
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