|
PureBytes Links
Trading Reference Links
|
You should not feel bad about being confused. Risk analysis is a
difficult subject (Think about how many insurance companies get it
wrong!) I have read several books and attended probably a dozen
lectures on this topic (the most recent by Dick Arms creator of the
Arms Index (TRIN)). I think I'm starting to catch on.
The metastock system tester focuses mainly on how a set of buy/sell
rules apply to a single stock. More sophisticated testers (TradeSim +
others) give a more complete picture.
The spreadsheet I posted focuses exclusively on the interaction
between Risk, Position Size, Expectancy vs. PORTFOLIO performance.
It takes as its INPUT a series of trades that are OUTPUT from some
trading system - say the trade list from the MS system tester. Then
with this set of trades, it shows how the portfolio performance varies
with changes in position size, risk and expectancy.
Don't give up on this - From my personal experience, I can tell you
that it can improve your trading performance dramatically.
--- In equismetastock@xxxxxxxxxxxxxxx, chichungchoi <no_reply@xxx> wrote:
>
> Thank everyone for suggestion
>
> Risk = $$$ you are willing to lose on a trade - as a % of portfolio
> Position Size = $$$ invested - How many shares do I buy ?
> Expectancy = $$$ profit you make/lose on a trade before doing
> something (exit, increase position, sell 1/2 etc)
>
> I am confused now, risk and expectancy can be determined by system
> tester in metastock. Does the risk represent Max.Drawdown? how to
> determine the position size based the result of risk and expectancy?
> Does anyone have any idea?
> I will look into the excel spreadsheet and play with these parameters.
> Thank everyone
> Eric
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Ed Hoopes" <reefbreak_sd@>
> wrote:
> >
> > An Excel worksheet has been uploaded to the files section that
> allows
> > you to play with these parameters.
> > the title is "ExpectancyAnalysisDerived.xls"
> >
> > David is correct:
> > Risk = $$$ you are willing to lose on a trade - as a % of portfolio
> > Position Size = $$$ invested - How many shares do I buy ?
> > Expectancy = $$$ profit you make/lose on a trade before doing
> > something (exit, increase position, sell 1/2 etc)
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, "david" <dwei9361@> wrote:
> > >
> > > 1. Case two
> > >
> > >
> > >
> > > risk% * total_capital / (entryprice - initialstop)
> > >
> > >
> > >
> > > = 0.02 * $100000 / $2 = 1000 shares, assuming your entry price was
> > $10 and
> > > your intial stop was $8
> > >
> > >
> > >
> > > So actually 10% of your capital will be committed to the trade in
> > this case.
> > >
> > >
> > >
> > >
> > > 2. You may want to look at using a measure of volatility such as
> the
> > ATR in
> > > determining your position size.
> > >
> > >
> > >
> > > Also you may want to consider putting a firm limit on the maximum
> %
> > of total
> > > capital you will allocate to any one trade.
> > >
> > >
> > >
> > > Regards
> > >
> > >
> > >
> > > Dave
> > >
> > >
> > >
> > >
> > >
> > > _____
> > >
> > > From: equismetastock@xxxxxxxxxxxxxxx
> > [mailto:equismetastock@xxxxxxxxxxxxxxx]
> > > On Behalf Of chichungchoi
> > > Sent: Wednesday, 8 March 2006 10:58 AM
> > > To: equismetastock@xxxxxxxxxxxxxxx
> > > Subject: [EquisMetaStock Group] Risking 2% for investment, but
> what
> > to do
> > > with the the rest of 98%?
> > >
> > >
> > >
> > > Account balance is $100,000, I would like to risk 2% [$100,000 x
> 2% =
> > > $2,000] for my investment and would like to purchase XYZ stock at
> $10,
> > > and project the target level at $14 with stop loss level at $8.
> > >
> > > How much shares should I purchase?
> > >
> > > In case 1, number of shares = $2,000 / $10 = 200 shares.
> > > I should invest $2,000 for this trade, and require only $2,000
> for this
> > > investment. Do I put $98,000 into saving account?
> > >
> > > In case 2, number of shares = $2,000 / ($10-$8) = 1,000 shares
> > > I should risk $2,000 for this trade, and require 1,000 x $10
> =$10,000
> > > for this investment. Do I put $90,000 into saving account?
> > >
> > > Does anyone have any suggestion on how much shares I should
> purchase
> > > for 2% risk? How to utilize more capital for investment and still
> > > maintain 2% risk?
> > > Thank you
> > > Eric
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > _____
> > >
> > > YAHOO! GROUPS LINKS
> > >
> > >
> > >
> > > * Visit your group "equismetastock
> > > <http://groups.yahoo.com/group/equismetastock> " on the web.
> > >
> > > * To unsubscribe from this group, send an email to:
> > > equismetastock-unsubscribe@xxxxxxxxxxxxxxx
> > > <mailto:equismetastock-unsubscribe@xxxxxxxxxxxxxxx?
> subject=Unsubscribe>
> > >
> > > * Your use of Yahoo! Groups is subject to the Yahoo!
> > > <http://docs.yahoo.com/info/terms/> Terms of Service.
> > >
> > >
> > >
> > > _____
> > >
> > >
> > >
> > > [Non-text portions of this message have been removed]
> > >
> >
>
------------------------ Yahoo! Groups Sponsor --------------------~-->
Try Online Currency Trading with GFT. Free 50K Demo. Trade
24 Hours. Commission-Free.
http://us.click.yahoo.com/RvFikB/9M2KAA/U1CZAA/BefplB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|