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Larry,
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--- In amibroker@xxxxxxxxxxxxxxx, "onelkm" <LKMCD1@xxxx> wrote:
>
> 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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