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Chuck,
After reading the help file again it appears the PositionSize =
-10; will invest 10% of *available* equity. Is this not correct? Ideally I would
like to invest 10% of total equity 'if available' otherwise nothing. The 33%
example below mentions *available* equity.Can
someone please clarify.
---Extract From User Guide---
Position sizing
This is a new feature in version 3.9. Position sizing in
backtester is implemented by means of new reserved variable
PositionSize = <size array>
Now you can control dollar amount or percentage of portfolio
that is invested into the trade-positive number define (dollar) amount that
is invested into the trade for example:PositionSize = 1000; // invest
$1000 in every tradeNegative numbers -100..-1 define percentage:
-100 gives 100% of current portfolio size, -33 gives 33% of <FONT
color=#0000ff>available equity for example:
-----Original Message-----From: chuck_rademacher@xxxxxxxxxx [<A
href="">mailto:chuck_rademacher@xxxxxxxxxx]Sent:
January Friday 16, 2004 11:41 AMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[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@xxxxxxxxxxxxxSend SUGGESTIONS to
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