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The position size limits your profita as it is decreased.
The %profits are computed based on total starting equity.
So if your starting equity is $100K and positionsize = $20K gives you
a profit of $10K, that becomes 10% return.
If you remove position size, each trade uses all of the capital
available, so the return will be significantly higher.
Check your setting to see your starting amount available
Ara
--- In amibroker@xxxx, "n94612" <nkm@xxxx> wrote:
> I've been studying position sizing / money management for about a
> month or two now, and have been following most of the recent
postings
> on Money Management with great interest. My understanding is
> increasing, but I have been having some inexplicable results in
some
> backtests and explorations that I have been running as learning
tools
> regarding position sizing, and I sure could use some help or input:
>
> Like some others of you out there, I noticed that whenever I add
> position-sizing code to any of my experimental systems, the percent
> gain drops WAY down.
>
> For example, in one particular test using a Dip-Buying algorithm
> translated from Wealth-Script, the results were +18.54 with no
> position size statement in the code and only +0.07% with Tharp's
> volatility based stops set at a generous 5% of total equity.
> Lowering the % of TE to the recommended 1 or 2% resulted in further
> degradation of results, (1% : -0.02%loss and 2%: +0.00% negligible
> gain.) This did not surprise me as I had already read that many
of
> you had the same or similar experiences with severely impacted
gains
> in your own backtests that also were resultant from adding position
> sizing.
>
> However, I then determined to try to get an idea at what percentage
> of total equity risked with Tharps volatility, WOULD the results
come
> near to those obtained with no position sizing. That's when I
> discovered that it made almost no difference whether %TE risked was
> 0.1%, 0.2% or whatever, even at 10%, 25%, 33%, 50% and 100% of
total
> equity risked, the results were still enormously degraded compared
to
> those without explicitly coded position-sizing. That just didn't
> sound right to me.
>
> Growing suspicious, I then proceeded to test a wide range of fixed-
> dollar-amount sizings, and fixed-share-amount sizings, all with
> similarly degraded overall results as the Volatilty-based sizings.
> I found it made no significant difference whatsoever what position
> sizing scheme or formula I employed -- What I found was...
>
> ---As soon as the PositionSize variable is added to the code, the
> percentage gain results decrease dramatically. All of which leads
me
> to wonder...
>
> 1) What is the default for position size used in AmiBroker's
backtest
> calculations when the variable is NOT declared? Anybody know?
>
> --I don't think it's total equity from Settings because I tested
for
> that -- when I use the PositionSize variable using "capital/close"
> (total equity as position size) the results are still way down
(over
> 95% down) from teh non-declared sizing results, and if that is so,
> how can the non-declared sizings result in such better gains? It
> doesn't make sense.
>
> 2) Why can't these non-position sizing results be approximated
using
> ANY position-sizing formula when the variable IS declared? I have
> been wracking my brain on this, to no avail.
>
> Anybody else tried anything like this? If so, did you notice the
> same thing. I mean, I can ceratinly see where capping ones risk to
a
> small percentage of total equity, and the resulting inevitable
> decrease in position sizes, especially for very volatile issues,
must
> have SOME negative impact on profits and backtest results; Less
Risk-
> Less Profit; it's the price of insuring against catastrophic loss,
> and would be more pronounced the shorter the hold-time of the
system,
> but this effect should not occur with fixed-share or fixed-dollar
> sizings, at least not to the same degree. And, it seems to me,
that
> at SOME parameter range, the results using the "PositionSize"
> variable should approach and eventually approximate the default(no
> explicitly declared position size variable) gain percentages. But
> apparently, judging from the results of my own testing anyway, this
> is not occuring, so how are the better results without position
size
> declaration even possible?
>
> I'm baffled. Please anybody, help, comment, question, share
insights.
>
> If anyone out there gets interested enough to take the time and
> trouble to test some of their systems - not necessarily with Tharp-
> style volatility based position sizing - but with a similar wide
> variety of simpler, more "vanilla" share-based or dollar-amount-
based
> sizings, I'd sure love to hear what you find out.
>
> I'm hoping that this is some error or misunderstanding on my part
and
> not a problem inherent in the the PositionSize variable
> implementation, but on the off-chance I've inadvertantly uncovered
a
> glitch of some sort, it'd be a good thing to get to the bottom of
it.
>
>
> Respectfully,
>
> Nick Molchanoff
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