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Exactly. PositionSizing is related to portfolio equity which is
total available assets (cash + open pos) as explained here: http://www.amibroker.com/guide/h_portfolio.html
10% of of TOTAL value of assets (cash plus value of all currently open positons).
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Fred" <ftonetti@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, January 16, 2004 5:50 PM
Subject: [amibroker] Re: Potential problem with Portfolio Backtester?
> Chuck,
>
> With regards to #3 ... imho the order should be for 10% of the then
> total assets were not total available cash. I can't vouch for what
> AB does or doesn't do in situations where securities are being
> replaced like this, however if it typically attempted to trade 10% of
> available cash then wouldn't it have established increasing smaller
> positions in the equities that were originally bought when the market
> signal went to a buy ?
>
> i.e.
>
> 1st entry = 10% of 100,000 = 10,000
> 2nd entry = 10% of 90,000 = 9,000
> 3rd entry = 10% of 80,000 = 8,000
>
> etc.
>
> This I can say that I am NOT seeing.
>
> Fred
>
> --- In amibroker@xxxxxxxxxxxxxxx, <chuck_rademacher@x> wrote:
> > 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
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>
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