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William,
This is where I got confused and I don't have an answer for you. Unfortunately, my research PC is swamped with work and I won't be able to dig any deeper for a while. I was hoping that TJ would clear things up.
Fred, however, has done some testing for us and I think his conclusion was that the problem was all in my head. He was kind enough to not actually say that, of course.
I really need to know how this is working and will get back to you once I can speak with conviction one way or the other. I have a feeling that Fred will have another go at clearing things up too.
Cheers
>
> From: "William Peters" <williampeters@xxxxxxxxxxxx>
> Date: 2004/01/17 Sat AM 06:46:57 GMT+13:00
> To: <amibroker@xxxxxxxxxxxxxxx>
> Subject: RE: [amibroker] Potential problem with Portfolio Backtester?
>
> 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 trade
>
> Negative numbers -100..-1 define percentage:
> -100 gives 100% of current portfolio size,
> -33 gives 33% of available equity for example:
>
>
>
>
>
>
> -----Original Message-----
> From: chuck_rademacher@xxxxxxxxxx [mailto:chuck_rademacher@xxxxxxxxxx]
> Sent: January Friday 16, 2004 11:41 AM
> To: amibroker@xxxxxxxxxxxxxxx
> 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@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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>
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
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