|
Hello,
It is really very simple.
With "Allow position size shrinking" you just
allow backtester to shrink position size below requested
amount.
"Allow position size shrinking" turned ON
means:
open trades EVEN if available funds are
less than requested position size (user-controllable via
PositionSize) variable.
"Allow position size shrinking" turned OFF
means:
open trades ONLY IF available funds are greater or
equal to requested positionsize
Let's assume that you have specified
PositionSize = 5000; // $5000 dollars into
single trade
If "allow position size shrinking" is ON
then even if your available funds will drop below $5000 it will
continue
to open trades (using remaining
cash).
If it is OFF then once your portfolio cash
drops below $5000 it won't open new trades.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Monday, May 30, 2005 4:34 AM
Subject: RE: [amibroker] Question on
Position Size Shrinking
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
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For other support material please check also:
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Please
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To get
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{at} amibroker.com
For other support material please check
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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
Yahoo! Groups Links
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