|
PureBytes Links
Trading Reference Links
|
Ed:
Your formula doesn't make much sense to me. The term stoploss/ref(C,-1)
is simply the volatility of the stock, expressed as a fraction of the
price, times a multiplier. Thus, for a $50 stock whose ATR is, say, 2
(highly volatile), and if you are using a multiplier of 2 with an
equity of $100 K, then your positionsize statement specifies that the
position size of the trade will be only $8,000 (100,000 * 4/50). For a
less volatile stock (one whose ATR is only 1), then your positionsize
would be only $4,000. So, you are allocating less money for less
volatile stocks and more money for more volatile stocks, and the amount
allocated in each case is tiny relative to your equity. This is the
opposite of what volatility-based trading is all about. Did you leave
something out?
Al Venosa
ed nl wrote:
well I just mentioned this because
the range is rather narrow. When testing this MM stuff on my system I
noticed that it behaved very poor especially between 1998 and 2001.
This is exactly the period the markets were very volatile. SInce
volatility reduces the position size my system hardly invested any
money.
I tried giving risky trades more
weight using (not sure if this is correct but it does approximately
what I intended):
PositionSize = -100 * (stopLoss / Ref(C,-1));
this as I
expected gives a better result than just using a constant percentage
over the last 3 year and also better than the correct MM approach.
Between 1998 and 2001 however it performs worse, suffering when the
market goes crazy.
rgds, Ed
-----
Original Message -----
Sent:
Sunday, December 12, 2004 4:06 PM
Subject:
[amibroker] Re: PositionSize / Capital
I love it. This also helps avoid the tiny positions somebody (Al?)
mentioned yesterday (and I've experienced also). But why do you say
it will usually probably use the 10 or 20% sized positions? Shouldn't
that mean you're setting your risk parameter unrealistically low?
--- In amibroker@xxxxxxxxxxxxxxx,
"ed nl" <ed2000nl@x...> wrote:
> This way you can use a range: Maximum 20% minimum 10% of equity:
>
> rsk = -2; // 2%
> PositionSize = Min(-10,Max(-20,rsk * Ref(C,-1) / stopLoss));
>
> In practice it most of the time it probably either uses 10% or
20%.
>
> Ed
>
>
>
> ----- Original Message -----
> From: danielwardadams
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, December 12, 2004 3:40 PM
> Subject: [amibroker] Re: PositionSize / Capital
>
>
>
> Al & Ed,
> This is exactly where I ended up yesterday (hours after my
post).
> When I tried it, though, I always ended up taking the 20%
positions
> rather than those defined by my risk. Thinking it wasn't
working,
I
> gave up and went to bed.
>
> But since someone else thinks this should work, obviously I need
to
> play with it some more.
>
> Dan
>
> --- In amibroker@xxxxxxxxxxxxxxx, "ed nl" <ed2000nl@xxxx>
wrote:
> > Al,
> >
> > about the part: "Your suggestion to limit positionsize
not to
> exceed any more than 20% of equity may be the solution since it
goes
> hand in hand with the philosophy of money management. That is,
do
not
> allow any one position to exceed, say, 10 or 15 percent of your
> equity. The Turtles did that, and I think lots of traders do
that,
> too. So, I see nothing wrong with that. Have you coded this in
AFL"
> >
> > I think you can solve this using:
> >
> > rsk = -2; // 2%
> > PositionSize = Max(-20,rsk * Ref(C,-1) / stopLoss);
> >
> > now it will never use more than 20% of equity.
> >
> > About the minimum number of trades I don't know. In my
system
that
> would be impossible because sometimes good entries just dry up
and I
> can't find even find 5.
> >
> > rgds, Ed
> >
> > ----- Original Message -----
> > From: Al Venosa
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Sunday, December 12, 2004 3:11 PM
> > Subject: Re: [amibroker] Re: PositionSize / Capital
> >
> >
> > Dan:
> >
> > Thanks for the ideas. You're not rambling; you're
thinking,
and
> this discussion is healthy. Good ideas may stem from the
discussion,
> so by all means, keep posting.
> >
> > I don't think you need a new built-in function called
MinPos.
> Maybe TJ came up with a solution the other day by suggesting you
set
> the max open positions to some large value like 10 of 15, even
though
> you plan to take on no more than 5 at any time. So, if you don't
use
> up all your equity using volatility-based positionsizing, you
might
> add on new positions with this approach. I haven't tested this
idea
> yet, but I will. The problem occurs when the opposite happens,
> namely, all your equity is used up before you are able to add
your
> 4th and 5th positions. Your suggestion to limit positionsize not
to
> exceed any more than 20% of equity may be the solution since it
goes
> hand in hand with the philosophy of money management. That is,
do
not
> allow any one position to exceed, say, 10 or 15 percent of your
> equity. The Turtles did that, and I think lots of traders do
that,
> too. So, I see nothing wrong with that. Have you coded this in
AFL?
> I'm like Yuki: good with concepts buy lousy with creative
> programming.
> >
> > Al Venosa
> >
> > danielwardadams wrote:
> >
> >
> > After thinking about this some more, I think all I've
described
> is
> > what could be accomplished with two more built-in
variables.
> MinPos
> > could say you want no less than some minimum number of
> positions (5
> > in my example) and MaxPositionSize could say you want
to
> allocate no
> > more than X% of capital to any one position (20% in my
example).
> >
> > Within these constraints, your actual position sizing
methond
> could
> > be anything you want.
> >
> > I'm probably rambling .........
> >
> > Dan
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "danielwardadams"
> > <danielwardadams@xxxx> wrote:
> > >
> > > Al & Anthony,
> > > I've also seen the lower returns for volatility
based
versus
> equal
> > > equity position sizing in the past and didn't know
what
to do
> about
> > > it (assuming I wanted more positions for more
> diversification).
> > >
> > > I'm not sure how one would code it in .AFL, but
would the
> following
> > > represent a reasonable compromise?
> > >
> > > (1) Start with an equal equity based model based
on,
say, 5
> > > positions (position size = -20). So each part of
the pie
> equals 20%
> > > of total equity.
> > > (2) Determine actual position size within each
piece of
the
> pie
> > based
> > > on volatility based sizing. So, depending on your
risk
> parameter,
> > one
> > > might use only 17% of one piece of the pie, 13% of
another
> piece,
> > and
> > > 20%, 8%, and 11% of the other pieces.
> > > (3) Sum the used portions of the pie (in this case
> 17+13+20+8+11 =
> > > 69%) and see what you have left. 31% in case.
> > > (4) Allocate the remaining cash according to the
equal
equity
> > model.
> > > This means you get one more 20% piece of pie and
only
have
> 11% cash
> > > remaining.
> > > (5) Apply the above using your ATR based position
sizing
> > recursively
> > > until your cash is minimized. So if you only are
able to
use
> 9% of
> > > the piece of pie left in (4) you take the 11% left
from
that
> piece
> > > plus the 11% cash and you have 22% -- enough for
another
> position.
> > So
> > > in this case you end up with 7 positions and only
2% left
in
> cash.
> > > So your cash is minimized and all your positions
adhere
to
> the ATR
> > > based position sizing.
> > >
> > > Like I say, I have no idea how to code it but
intuitively
it
> makes
> > > sense to me.
> > >
> > > Thoughts/comments?
> > >
> > > Dan
> > >
> > > (And, yes, I'm sure I'm not the first person to
think of
it
> so my
> > > apologies to those who have gone before).
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Anthony
Faragasso"
> > <ajf1111@xxxx>
> > > wrote:
> > > > Hello Al,
> > > >
> > > > You stated:
> > > >
> > > > "the lower the volatility, the lower the risk
and
> therefore, the
> > > smaller the positionsize for that stock. "
> > > >
> > > > Is this a correct assumption ? ...Would you
want a
larger
> > > positionsize on a less risk position , and a
smaller
position
> on a
> > > more volatile one ?
> > > >
> > > > Anthony
> > > > ----- Original Message -----
> > > > From: Al Venosa
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Sent: Saturday, December 11, 2004 7:53 AM
> > > > Subject: Re: [amibroker] PositionSize /
Capital
> > > >
> > > >
> > > > Ed,
> > > >
> > > > I, too, have confirmed many times with
backtesting
what
> you
> > > report, viz,, that positionsize = -x gives better
performance
> > results
> > > than using volatility-based MM positionsizing. The
non-MM
> code I've
> > > used in the past is:
> > > >
> > > > posqty = Optimize("posqty",5,2,10,1); //
no. of
stocks
> active
> > at
> > > any given time
> > > > PositionSize = -100/posqty; //equal equity
model
> > > >
> > > > I think I know what the problem is, but I
have not as
yet
> > figured
> > > out how to solve the problem with AFL. If you use
the MM-
> based
> > > positionsize statement as we have discussed (equal
volatility
> > model),
> > > i.e., PositionSize = -1 * C/StopAmt, and examine
the
> tradelist, you
> > > will likely discover that, often, not all 5 stocks
are
active
> all
> > the
> > > time. In other words, either you have idle capital
earning
> nothing
> > or
> > > you have fewer active stocks than you want. Why is
this?
> Because
> > some
> > > stocks, which might not be as volatilie as others,
use up
> more of
> > > your capital to initiate a position than a more
volatile
> stock.
> > > Consequently, your capital is used up before you
have a
> chance to
> > > enter into your 4th or 5th stock. Instead of
having 5
open
> > positions,
> > > you might only have 3 because of this. Checking
positionsize
> > > shrinking doesn't help because you'll discover you
might
have
> tiny
> > > positions in your 5th stock. The fewer stocks you
have,
the
> less
> > > diversified you are, and therefore the more risky
your
> portfolio.
> > The
> > > more risk, the higher the DDs. This problem cannot
happen
> with the
> > > equal equity model since all positions are equal
in size,
by
> > > definition.
> > > >
> > > > One possible way around this might be to
increase
your
> margin
> > so
> > > that equity is expanded enough to allow full
funding of
all
> > > positions. But, again, this also increases your
risk.
Another
> way
> > > might be dynamically setting your risk to fit the
volatility
> of
> > each
> > > stock individually (the lower the volatility, the
lower
the
> risk
> > and
> > > therefore, the smaller the positionsize for that
stock).
> However,
> > > this changes your model so that you no longer have
equal
> > > volatility/equal risk (getting closer to the equal
equity
> model).
> > So,
> > > the problem remains unsolved for the moment. I
have not
had
> time to
> > > devote to cracking this problem yet, but some day
I hope
to
> do
> > this.
> > > If you have any ideas, I'm all ears.
> > > >
> > > > Al Venosa
> > > >
> > > >
> > > > ed nl wrote:
> > > > Thanks for your effort Al. It is very
clear,
> > > >
> > > > In one of my earlier posts I posted
> > > >
> > > > // money management block
> > > > stopLoss = Ref(bbb*ATR(20),-1);
> > > > // trade risk
> > > > tr = IIf(Buy,(stopLoss /
BuyPrice),stopLoss /
> (ShortPrice +
> > > stopLoss));
> > > > // renormalisation coefficient
> > > > rc = 0.02 / tr;
> > > > // positionsize
> > > > PositionSize = rc * -100
> > > >
> > > >
> > > > it actually gives the same result as your:
> > > > PositionSize = -2.0 * IIf
(Buy,BuyPrice,ShortPrice) /
> stopLoss
> > > > except for short positions. Exact the
same it would
be
> if I
> > > use: tr = IIf(Buy,(stopLoss / BuyPrice),stopLoss /
> (ShortPrice));
> > > >
> > > > Unfortunatelly I do not get better
results this
way.
> Using
> > just
> > > a simple PositionSize = -10 still gives somewhat
better
> results.
> > > >
> > > >
> > > >
> > > > rgds, Ed
> > > >
> > > >
> > > > ----- Original Message -----
> > > > From: Al Venosa
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Sent: Saturday, December 11, 2004 4:19
AM
> > > > Subject: Re: [amibroker] PositionSize /
Capital
> > > >
> > > >
> > > > ed nl wrote:
> > > >
> > > > Al,
> > > >
> > > > but how do you implement the risk
factor now?
> > > >
> > > > ed
> > > > Ed:
> > > >
> > > > Let us suppose you have established
your risk as
1%
> (i.e.,
> > > the maximum you are willing to lose on a trade).
Let us
also
> > suppose
> > > your initial equity is $100,000. So, if the stock
you buy
(or
> > short)
> > > goes down by the amount based on your system, you
lose
only
> $1000,
> > > keeping you in the game. Now, let us say you
defined your
> > volatillty-
> > > based stop in terms of 2*ATR(20), which you
incorrectly
> assigned to
> > > the variable TrailStopAmount. I say 'incorrectly'
because
the
> > > TrailStop in AB was designed to mimic the
Chandelier
exit,
> which is
> > > basically a profit target type of stock (it hangs
down
like a
> > > chandelier from the highest high since the trade
was
> initiated, if
> > > long). I don't think you want the TrailStop to be
your
money
> > > management stop. Rather, the MM stop is the max
stoploss,
> defined
> > as:
> > > >
> > > > StopAmt = 2*ATR(20);
> > > > ApplyStop(0,2,StopAmt,1);
> > > >
> > > > So, if your stock declines by 2*ATR(20)
from your
> entry,
> > you
> > > exit with a 1% loss. Let's take an example. Stock
A is
> selling for
> > > $40/share. It's ATR(20) is $1/shr or 2.5% of 40.
Your
stop
> amount
> > is
> > > 2*ATR(20), which is $2/shr. How much stock do you
buy?
You
> simply
> > > divide your risk, $1000, by 2*1, which is 500
shares.
This
> amounts
> > to
> > > an investment of $40/shr * 500 shrs or $20,000.
All of
this
> can be
> > > coded in one simple line of AFL plus the 2 lines
above
> defining the
> > > MM stoploss:
> > > >
> > > > PositionSize = -1 * BuyPrice/StopAmt;
> > > >
> > > > where -1 is 1% of current equity (0.01
* 100,000
or
> $1000),
> > > BuyPrice = $40/shr, and StopAmt is 2. Keep in mind
that a
> negative
> > > sign means 1% of CURRENT equity, which means
compounded
> equity, not
> > > just a constant initial equity of $100,000. If you
carry
> through
> > the
> > > above math with your renormalization coefficient
notation,
> you wind
> > > up with the exact same answer.
> > > >
> > > > One more thing. When you place your
order,
assuming
> you are
> > > trading with EOD data, you do not know what the
buyprice
is
> until
> > you
> > > buy the stock, which is the next day. So, what
most
traders
> do is
> > > base their positionsize on the closing price of
the night
> before
> > the
> > > entry. Therefore, to place an order in the evening
to be
> filled in
> > > the morning at the open, your positionsize
statement
would
> actually
> > > be:
> > > >
> > > > PositionSize = -1 * C/StopAmt;
> > > >
> > > > where C is the closing price on the
night before
you
> buy.
> > So,
> > > if you use the code SetTradeDelays(1,1,1,1), then
the
above
> formula
> > > is OK. However, if you use
SetTradeDelays(0,0,0,0), then
you
> have
> > to
> > > ref the C back a day.
> > > >
> > > > This is probably more information than
you were
> asking
> > about,
> > > but I hope it helps.
> > > >
> > > > Cheers,
> > > >
> > > > Al Venosa
> > > >
> > > >
> > > >
> > > >
> > > > Check AmiBroker web page at:
> > > > http://www.amibroker.com/
> > > >
> > > > Check group FAQ at:
> > >
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > >
> > > >
> > > > Yahoo! Groups Sponsor
> > > > ADVERTISEMENT
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
--------------------------------------------------------
----
> ------
> > --
> > > ----------
> > > > Yahoo! Groups Links
> > > >
> > > > a.. To visit your group on the web, go to:
> > > > http://groups.yahoo.com/group/amibroker/
> > > >
> > > > b.. To unsubscribe from this group, send
an email
to:
> > > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > > >
> > > > c.. Your use of Yahoo! Groups is subject
to the
Yahoo!
> Terms
> > of
> > > Service.
> >
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> >
> > Yahoo! Groups Sponsor
> > ADVERTISEMENT
> >
> >
> >
> >
> >
> >
----------------------------------------------------------------
----
> ----------
> > Yahoo! Groups Links
> >
> > a.. To visit your group on the web, go to:
> > http://groups.yahoo.com/group/amibroker/
> >
> > b.. To unsubscribe from this group, send an email to:
> > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> >
> > c.. Your use of Yahoo! Groups is subject to the Yahoo!
Terms of
> Service.
>
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
> Yahoo! Groups Sponsor
> ADVERTISEMENT
>
>
>
>
>
>
--------------------------------------------------------------------
----------
> Yahoo! Groups Links
>
> a.. To visit your group on the web, go to:
> http://groups.yahoo.com/group/amibroker/
>
> b.. To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
> c.. Your use of Yahoo! Groups is subject to the Yahoo! Terms
of
Service.
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
|
|