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Al,
It appears from the little test I posted that this is exactly correct
and in addition if position size shrinking is turned on it will
invest that left over $700 in something else as well.
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> I'd like to know the answer to your question, too. Here is how I
would guess
> AB does it. It determines your TOTAL CURRENT equity at any given
time. You
> said that one of your stocks exited with a $3K profit after a few
days, but
> you didn't say what the other 9 stocks did. Suppose they grew to a
$20 K
> profit collectively. Thus, your total current equity is now $123 K
(the $3K
> profit from your exited position plus the $20 K open profit from
the other 9
> stocks plus the original $100 K invested). So, according to your
> positionsize statement, the new investment would be 10% of $123 K
or $12.3
> K. So, you would buy $12.3 K of your new stock rather than $13 K,
leaving
> you with $700 uninvested cash. Does this make sense? I don't know
if it is
> correct, however.
>
> Al Venosa
>
>
> ----- Original Message -----
> From: <chuck_rademacher@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, January 16, 2004 11:40 AM
> Subject: [amibroker] Potential problem with Portfolio Backtester?
>
>
> > I'm certainly not saying that there is a bug in the backtester.
I just
> wondered what other users think of what I see happening in my
research. In
> fact, after typing everything that follows, I've come to the
conclusion that
> the problem is in my own AFL. However, I believe that my coding is
exactly
> or at least similar to what everyone else is doing.
> >
> > I'll attempt to describe the situation:
> >
> > 1. I'm using the "normal" portfolio backtesting mode with market
timing.
> My systems will typically lay on some number of positions when
the "market"
> turns up and quit all of those positions when the market turns
down. The
> systems do have 50% loss stops (that are seldom hit) and profit
stops that
> are frequently hit.
> >
> > 2. Assume we are flat today.
> >
> > 3. We download our data, run our backtest and place our orders
for
> tomorrow's open.
> >
> > 4. Assume that we have $100,000 in our account and we have used
> PositionScore to rank our 50 or so buy signals and that we are
going to have
> a maximum of ten positions.
> >
> > 5. We will have ten buy orders, each for about $10,000.
> >
> > 6. Let's say that after a few days, one of our positions hits
our profit
> objective and we exit with a $3,000 profit.
> >
> > 7. This leaves us with $13,000 to invest tomorrow.
> >
> > 8. Assuming that the market is still in an up-trend, AB (our
AFL) is
> going to find a new stock for us to buy. I believe that it is
going to
> divide our available funds ($13,000) by ten and that it will invest
only
> $1,300 in the stock that is replacing the stock we quit at our
profit stop.
> Why wouldn't it? After all, it's my own AFL that says something
like:
> >
> > PositionSize = -100/posqty;
> > or
> > PositionSize = -10;
> >
> > The questions I have are:
> >
> > 1. Do you agree that this is what is happening?
> >
> > 2. Does this explain why we are not able to achieve the exposure
> percentages that we expect?
> >
> > 3. Would you like the buy order be for $1,300, $10,000 or
$13,000?
> >
> > 4. Have you solved this problem yourself with some fancy AFL?
I'm
> thinking that I may, for instance, be able to calculate position
size at the
> beginning of a market cycle and use it throughout that cycle. In
other
> words, I would determine that for the next cycle, all positions
will be
> $10,000. Profits would just be set aside for the next cycle.
> >
> > I look forward to hearing from those of you who are interested in
this
> subject.
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
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>
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