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Nick,
Seems like the difference is that:
PositionSize = 30000 will take trades at exactly 30000 or none if
adequate funds are not available.
PosisionSize = -100 will take all available funds each time.
The two investments are not the same as compounding affects one only.
Ara
--- In amibroker@xxxx, "n94612" <nkm@xxxx> wrote:
> 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 enough due 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 to 30000 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 all
>
> Nick 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.com
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