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Ara,
Thanks, Sometimes, a brief clear restatement from another set of
eyes is more helpful than an hour in the library. I think I've got
it now.
Regards,
Nick Molchanoff
--- In amibroker@xxxx, "akaloustian" <ara1@xxxx> wrote:
> 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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