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<FONT face=Arial
size=2>Tomasz,
<FONT face=Arial
size=2>
Thanks for clearing
that up. I was under the impression that position size was calculated on
*available* equity because it so happens that I read the 'Back-testing your
trading ideas' article in the users guide which mentions *available* equity in
one sentence.
<FONT face=Arial
size=2>
Up until now I have
been thinking about this as somthing I would have to tackle.
<FONT face=Arial
size=2>
Chuck, your post was
not wasted...thanks :)
<FONT
size=2>Regards,<FONT
size=2>William
<SPAN
class=859102518-16012004><FONT
face="Times New Roman">
<SPAN
class=859102518-16012004> -----Original Message-----From:
Tomasz Janeczko [mailto:amibroker@xxxxxx]Sent: January Friday 16,
2004 1:16 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Potential problem with Portfolio
Backtester?
William and all,
There is a TUTORIAL on portfolio backtesting and it is
explained there.
It is CLEARLY written in the User's Guide: Portfolio
backtesting.
<A
href="">http://www.amibroker.com/guide/h_portfolio.html
And it was written by me many times on the list. Just single
sentence (second from the top) explains everything:
Portfolio equity is equal to available
cash plus sum of all simultaneously open positions at given
time.
10% of PORTFOLIO EQUITY means
10% of ( CASH + VALUE OF ALL OPEN POSITIONS )
Hope this helps.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=williampeters@xxxxxxxxxxxx
href="">William Peters
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, January 16, 2004 6:46
PM
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 tradeNegative 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 [<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
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