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Another thing to
remember is to check your Settings, Commissions and Rates. If you have a
fixed amount you take out for commission and slippage, then when you reduceyour
PositionSize, this fixed amount eats up a larger percentage of each trade.
3% will return $300 on a $10,000 PositionSize, minus $30 commission gives you
$270 profit. But if you reduce your PositionSize to $1000, then your
profit is $30, minus $30 commission which no profit at all.
<FONT face="Vladimir Script" color=#000080
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: akaloustian
[mailto:ara1@xxxx]Sent: Monday, October 21, 2002 4:50
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]Re:
PositionSize Variable - Help - Inexplicable
ResultsThe 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 availableAra--- 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 havebeen
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 1or
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, allwith
> 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 canthe
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 ceratinlysee
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 onthe
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 MolchanoffPost
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