|
PureBytes Links
Trading Reference Links
|
Hi
After some day I figured it out. The size of the position is also
affected by the backtester settings. For example, only x% of the
volume of the entry bar can be longed/shorted.
regards/ huanyan
--- In amibroker@xxxxxxxxxxxxxxx, "huanyanlu" <joesan99@xxx> wrote:
>
> Hi,
>
> In portfolio backtest of a futures symbol, I apply a simple
> antimartingale way of position sizing by indicating <
> positionsize= -50; > There are about 400 historical trades.
>
> When looking at the tradelist of the portfolio backtest, I found
that
> in the beginning one hundred trades or so, the number of the
contract
> traded changes nicely according to the result of the individual
> trades plus the effect of the sizing algorithm , increasing or
> decreasing by one contract at some point co-defined by the margin
> requirement of the contract. Thus the contract traded increased
from
> 5 contracts to 11 contracts. Then something strange happens: after
a
> small losing trade, according to the cum profit ,the initial equity
> and the margin requirement, the number of contracts to be
> bought/shorted in the next trade should remains at 11 contracts,
but
> in the backtest only 9 contracts are traded. And from that point
> on , the number of contracts traded in the backtest do not conform
to
> the theoretical value ( which is correct bcz it goes with the
sizing
> definition ) from time to time, and in the latter half of the
> tradelist , I would see adjacent 10 numbers of contracts traded
> as "27,27,29,25,13,30,17,25,26,30" Till this point , I believe
> something must go wrong here, because the result of these ten
> individual trades should never cauze such big jumps in the number
of
> contracts traded.
>
>
>
> I want to know if some one have met this before in the portfolio
> backtest for a sample of more than a couple of hundreds trades. And
> what may be the possible cause & solution to the problem.
>
> Thanks for any hint and Happy new year to all !
>
> huanyan
>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL 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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|