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Tomasz
Could you comment pleae? I assume I made a simple mistake, but after
reviewing posts related to this problem and looking all through the
manual ..... I'm stumped!
Thanks Larry
--- In amibroker@xxxxxxxxxxxxxxx, "onelkm" <LKMCD1@xxxx> wrote:
>
> Terry
> Thanks for the input. I checked out your comments, but they don't
> seem to apply here because my "PositionSize" is always 100% of
> portfolio equity and I am only trading one fund at a time. Other
> curious observations: Both systems chose the same ticker for the
> first 2 trades and the buy/sells are on the same days. Then, for
the
> third trade, when Position Size Shrinking is ON, the third trade is
> made on the same day as the sell, but with Position Size Shrinking
> off, the trade is taken the next day, yet the buy delay and sell
> delay =1 for both cases. The third trade selected the #2 ranked
fund
> instead of the top ranked fund when Position Size Shrinking is ON;
> with Position Size Shrinking off, the correct top ranked fund was
> selected. Activate stops immediately and Allow same bar exit boxes
> are not checked.
>
> Any additional help by you or anyone else would be most appreciated.
> Larry
>
> --- In amibroker@xxxxxxxxxxxxxxx, Terry <MagicTH@xxxx> wrote:
> > (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
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >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
> > >
> > >
> > >Yahoo! Groups Links
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
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