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I can't figure out why this happens – When I run a portfolio
backtest I get different results depending on whether the "Allow
position size shrinking" box is checked in "Backtester Settings" yet
I am only trading one fund at a time. I looked through the help files
but found nothing. Here is a simple example of the code:
pos = Optimize("pos", 1, 1, 4, 1);
SetOption("MaxOpenPositions", pos );
per1 = Optimize("per1", 43, 5, 60, 1);
gain=(C-Ref(C,-per1))/Ref(C,-per1);
amt1 = Optimize("amt1", 45, 1, 60, 1);
amt2 = Optimize("amt2", 0.044, 0.01, 0.3, 0.001);
Buy =gain>amt2;
Sell=0;
PositionSize = -100/pos;
PositionScore = 10000+ ROC(C,amt1) ;
trail = Optimize("trail", 2.6, 0.5, 6, 0.1);
ApplyStop( stopTypeTrailing, stopModePercent, trail, True );
Loss = Optimize("Loss", 0.3, 0.1, 3, 0.1);
ApplyStop( stopTypeLoss, stopModePercent, Loss, True );
Also, when the "Allow position size shrinking" box is checked, the
fund selected is not the highest ranked fund according to the
criteria used in the "Positionscore" equation. However, when the box
is not checked, the highest ranked fund is selected.
Any clues why this happens???
Thanks
Larry
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