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Why not just size the trades based on the initial equity rather than current
equity
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
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On 09/01/07, brentonfx <brentonfx@xxxxxxxxxxx> wrote:
>
> Tomasz
>
> Thank you for the reply, I am very very new at the custom
> backtester, so shall have to see if I can modify the example to
> suit. If anyone has actually coded the custom backtester to not
> compound profits, would they mind sharing how to do it? Thanks.
>
> I thought this may have been supported simply in Amibroker by
> setting an option somewhere that I had not managed to find.
>
> I think it is very important to be able to test without compounding
> profits for a couple of reasons.
>
> Firstly, if you do compound profits, and use position sizing based
> on your current equity, then trades that occur later in the backtest
> have a larger weighting on the overall performance of the system
> than those that occur earlier because they have larger position
> sizes. Even if position sizes are not based on current equity, more
> trades can be taken later in the backtest because more equity is
> available. So backtest results are always influenced more my trades
> that occur later in the test than by those that occur earlier. When
> I test I want all trades to have equal influence on the overall
> results regardless of when they occurred.
>
> Secondly, performance measures such as K-Ratio that are looking a
> straightness of the equity curve, or Sharp Ratio looking for
> consistency of returns, will not work correctly if profits are
> compounded. A compounded equity curve would ideally be exponential
> in shape, not the straight line that K-Ratio is looking for. So for
> these type of measures to work correctly it is necessary to use a
> fixed float value right through the test.
>
> Thirdly, in real trading, all profits can not be compounded all the
> time, as there is a requirement to pay tax on profits (unless you
> are luck enough to live in a tax free world!).
>
> These are just my thoughts, I would be interested to hear other
> peoples opinions.
>
> Regards
> Brenton
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
> wrote:
> >
> >
> > Hello,
> >
> > Custom backtester and it is pretty easy.
> > This example
> > http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions/
> >
> > can be easily modifed to achieve what you after.
> >
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "Terry" <MagicTH@xxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Monday, January 08, 2007 4:21 PM
> > Subject: RE: [amibroker] Not Compounding profits in backtester
> >
> >
> > > Custom backtest procedure can do this...not a simple project.
> > > --
> > > Terry
> > > -----Original Message-----
> > > From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
> > > Of brentonfx
> > > Sent: Monday, January 08, 2007 05:10
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Not Compounding profits in backtester
> > >
> > > Hi
> > >
> > > I there a way to stop the backtester from compounding profits?
> > >
> > > I want to simulate taking out all of my profits as they are
> earned,
> > > and continuing to trade with only my initial equity, for example
> > > $100k. If I use fixed trade size of say $25k it's easy, I just
> set
> > > the max open positions to 4. But I want to test a system that
> uses
> > > variable trade sizes, and if I've taken trades of less than $25k
> then
> > > I want to be able to take more than 4 trades.
> > >
> > > If I don't limit the max open positions, the backtester just
> takes
> > > more and more positions at once as the test progresses and
> equity
> > > grows, so my market exposure ends up being way more than the
> $100k max
> > > that I want to limit it to at any time.
> > >
> > > Is there a way to do this?
> > >
> > > Thanks
> > > Brenton
> > >
> > >
> > >
> > >
> > > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > > http://www.amibroker.com/devlog/
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > >
> > > Yahoo! Groups Links
> > >
> > >
> > >
> > >
> > >
> >
>
>
>
>
> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
>
>
>
>
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