Re: [amibroker] portfolio backtest - I get different results

[Terry <MagicTH@xxxxxxxxxxx>]

(Without checking your data below)... This means you have a losing trade 
somewhere that takes your equity below your starting value. When Allow 
Position Size Shrinking is ON the trade will be taken with whatever 
capital you have left. If it's not checked, the trade will be skipped 
because you don't have enough money.

Terry

onelkm wrote:

>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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>Please note that this group is for discussion between users only.
>
>To get support from AmiBroker please send an e-mail directly to 
>SUPPORT {at} amibroker.com
>
>For other support material please check also:
>http://www.amibroker.com/support.html
>
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