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Title: Message
Terry/Steve,
I was
confused after Steve's e-mail (after I thought I knew what was going on!) but
now after comparing the results with "Allow Shrink" on and off I think I may
understand. Please set me straight if I don't.
With
"Allow Shrink" on there were 741 trades in 5 years worth of data. With "Allow
Shrink" off there were 341 trades.
It
appears that with "Allow Shrink" on and "Round Lot Size" set to 100, AB will
open multiple positions in increments of 100 shares up to the available equity.
These trades can be for much less than my "Initial Equity".
With
"Allow Shrink" off, AB will only open a position with the entire available
equity or it will not open one at all. This seems like an odd behavior. When
would you ever want to backtest a portfolio this way?
I
appreciate all the replies I receive. It is all an education to me and hopefully
others can benefit too.
Thanks
again, Scott
It
will IF you check allow position size shrinking. That's what it's for. AB
assumes you want to trade all your money and your initial equity is basically
the minimum trade size unless you check this box. You can control, via code,
PositionSize to something other than -100 (trade all your money to see
compounded returns). If it's negative, it's a percent of portfolio, if
positive it's an absolute (fixed return) amount per trade. Combined with Max
open positions, this let's you trade a basket of stocks.
I
just mentioned the other parameters so you were aware. Sometimes they keep you
out of a trade you expected to get.
No
matrix I'm aware of. Just the school of hard knocks :-)
Sorry if I'm telling you stuff you already know.
--
Terry
Terry,
Do
you mean MORE than your original equity? If my first trade was a loser, say
I lose 25% of a $40k initial equity. Wouldn't AB just size the next trade
for the remaining $30k? I am still confused about this.
I
have "Min. shares" set to 100 because I don't want to trade anything less
than that.
I
have "Round lot size" to 100 because I like round lot sizes of
100.
I
have "Limit trade size as % of entry bar volume" set to
1%.
I
do not have "Use previous bar equity for position size"
checked.
Is
there some kind of matrix somewhere which shows the relationship of the
different AA settings?
Thanks for your time, Scott
Position Size Shrinking
let's you take a trade with LESS than your
original equity. If it's not
checked and your first trade is a loser,
you don't get any more trades.
There are other things that affect your
trading too such as minimum
shares, round lot size, use previous bar for
equity and limit trades
size as % of equity. These are all in
AA->Settings.
--
Terry
| -----Original Message-----
| From:
amibroker@xxxxxxxxxxxxxxx
| [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of Scott Mariani
| Sent: Sunday, May 29, 2005 12:51 PM
| To:
AmibrokerYahooGroups
| Subject: [amibroker] Question on Position Size
Shrinking
|
|
| In the AA Backtester Settings there is a option
to "Allow
| position size shrinking". This option makes a huge
difference
| in my results. I need to understand what AB is doing when
it
| is checked so I can replicate it in my real trading. Below is
| the help description:
|
| "If you mark this box AmiBroker
will shrink down positions if
| available equity is less than
requested position size (via
| PositionSize variable). If this box is
unmarked positions
| will not be entered in such case."
|
|
This help statement is not really clear to me. Does AB
| determine
"requested position size" independent of available
| equity? I am not
using any "PositionSize" variables in my
| formula. Is there another
"setting" that controls "PositionSize"?
|
| Could someone explain
how I relate this to trading my signals?
|
| Thanks, Scott
|
|
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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
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
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
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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