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Thank
you CS,
<SPAN
class=260160414-23102002>
I
enjoyed the code included on Tharp's ATR-based position sizing technique. Will
try it in the next few minutes.
<SPAN
class=260160414-23102002>
Can
you tell me how applying this rule effected the performance of your trading
system? What happened to DDs?
<SPAN
class=260160414-23102002>
Many
thanks,
<SPAN
class=260160414-23102002>Herman.
<BLOCKQUOTE
>
<FONT face=Tahoma
size=2>-----Original Message-----From: CS
[mailto:csaxe@xxxx]Sent: 22 October, 2002 9:17 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Re: PositionSize
Variable - Help - Inexplicable Results
While I'm no expert, and my most of understanding comes
from R(eading)TFM, the line PositionSize = 30000 meansthat
you are investing 30000 on each and every trade, no matter how big your equity
grows. Obviously, if your previous trades wiped out your equity, you're not
going to be investing in any more trades.
The line PositionSize = -100 meansthat you
are investing %100 of your equity on each trade. If your previous trades were
winners, that money has been ADDED to your equity. Now for the current trade,
you are now investing more money than the past trades. Think of it
as rolling over your starting equity plus all your past winners and minus
your losers.
If you had gone to HELP>SEARCH and typed in
POSITIONSIZE like I did, you would have seen:
Position sizing
This is a new feature in version 3.9. Position sizing
in backtester is implemented by means of new reserved variable
<FONT color=#ffffff
>PositionSize = <size
array>
Now you can control dollar amount or percentageof
portfolio that is invested into the trade
positive number define (dollar) amount that is
invested into the trade for example:<FONT
color=#ff0000>PositionSize =
1000; // invest $1000 in every trade
negative numbers -100..-1 define
percentage: -100 gives 100% of current portfolio size, -33 gives 33%
of available equity for example:<FONT
>PositionSize = -50; /* always
invest only half of the current equity */
dynamic sizing example:<FONT color=#ffffff
>PositionSize = - 100 +
RSI();as RSI varies from 0..100 this will result in position
depending on RSI values -> low values of RSI will result in higher
percentage invested
If less than 100% of available cash is investedthen
the remaining amount earns interest rate as defined in the
settings.
There is also a new checkbox in the AA settings
window: "Allow position size shrinking" - this controls how backtester handles
the situation when requested position size (via <FONT color=#ffffff
>PositionSize variable) exceeds
available cash: when this flag is checked the position is entered with size
shinked to available cash if it is unchecked the position is not
entered.
To see actual position sizes please use a new report
mode in AA settings window: "Trade list with prices and pos. size"
For the end, here is an example of Tharp's ATR-based
position sizing technique coded in AFL:
Buy = <your buy formula
here>Sell = 0; // selling only by
stop
TrailStopAmount = 2 * ATR( 20 );Capital =
100000; /* IMPORTANT: Set it also in the Settings: Initial Equity
*/
Risk =
0.01*Capital;<FONT
color=#ffffff >PositionSize =
(Risk/TrailStopAmount)*BuyPrice;ApplyStop( 2, 2,
TrailStopAmount, 1 );
The technique could be summarized as
follows:
The total equity per symbol is $100,000, we setthe
risk level at 1% of total equity. Risk level is defined as follows: if a
trailing stop on a $50 stock is at, say, $45 (the value of two ATR's against
the position), the $5 loss is divided into the $1000 risk to give 200 shares
to buy. So, the loss risk is $1000 but the allocation risk is 200 shares x
$50/share or $10,000. So, we areallocating 10% of the equity to the
purchase but only risking $1000. (Edited excerpt from the AmiBroker mailing
list)
C'mon Nick. You can do it. HELP>SEARCH is faster than email
and usually more detailed.
Be a future AB guru.
-CS
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
n94612
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, October 22, 2002 3:40
PM
Subject: [amibroker] Re: PositionSize
Variable - Help - Inexplicable Results
Thanks to all who responded with such very helpful input:
Ara, Ken, Herman, Rick, Mark, and Tomasz.I had overlooked the
fact that in AmiBroker, PositionSize is expressed in dollars, not
shares. This was my oversight due to the fact that in most of
my other readings (Tharp, Turtle Trader site, and perhaps a dozen or so
other sites, Position Size IS expressed in Number of Shares, and is
defined as "the number of Contracts or Shares purchased."This
realization has resulted in me having to rewrite parts of many systems
and explorations, but it's so good to have it cleared up in my own mind
and see where the error arose.My apologies for not doing enoughdue
diligence research especially in AmiBroker's Help before posting, and
thanks once more for everyone's helpfulness and patience through this
small bump in my learning curve.Just one last question on this
subject: Shouldn't the following two situations produce identical
results?1) PositionSize = 30000; ( with equity set to 30000 in
Settings as well as in "Capital" variable in code and no position size
shrinking)2) PositionSize = -100 ( with equity set to30000
in Settings as well as in "Capital" variable in code and no position
size shrinking)Even after I adjusted my code to fix the
misunderstanding I had regarding position size, these two tests,
which seem to me should be equivalent, produce entirely different
results.Here are the different results obtained in each
case: # of
Tr
Avg.Tr.
Portfolio
%1) 3708
+644.06
53938
+79.79 %2)
3708
+1739.65 94692
+215.64 %... of course, I'd never
trade with 100%, but these #'s illustrate my point better; 30000
should produce the same results as -100 (100% of
30000)Here are the results for the same test at $3000 and -10
(10% of 30000). They are still significantly
different:1)
3708
+65.80
32445 + 8.15
%2) 3708
+70.10
32605
+ 8.68 %Do you think that
the difference between the integer and the floating point
calculation of the percentage could account for this large of a
difference?Best Regards to allNick Molchanoff--- In
amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:>
Hello,> > Nick wrote:> > > PositionSize)
then, if you DO use PositionSize and set the number of > >
shares to TotalEquity/Close, then the results of the two runs should
> > be identical, but in all my tests, they are not. I do
not understand > > why this is so. I must conclude that
I am either suffering a > > misunderstanding, making an error, or
there is a problem with > > PositionSize implementation.>
First of all POSITION SIZE is expressed in DOLLARS not in number of
shares.> > RTFM !> > Best regards,>
Tomasz Janeczko> amibroker.comPost
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