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Need to correct myself.
<span
>With only
‘profit’ 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: “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.
<span
>
<span
>
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.
<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
>
>
> ---
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<span
>Send BUG REPORTS to bugs@xxxxxxxxxxxxx<font
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<span
>
<font size=2
face="Courier New">Send BUG REPORTS to
bugs@xxxxxxxxxxxxx<span
>
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