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Herman,
TJ pointed out in an earlier post that when you are using position sizing, the % drawdown results are not correct and should not be used, so you have to rely on dollar drawdown rather than % dd. Also, remember, with position sizing, AB calculates % profit on the basis of total equity, not on the basis of the amount invested per trade. I don't know what you used for position size in your formulas but if it was 1%, then an 8.95% profit is fantastic and much better than 120% without position sizing. If your equity is $100,000 and in your first trade you invested $10,000 (to give you your $1000 risk of loss), then an 8.95% profit would return $895 (8.95% of $10,000) in however many days the trade lasted. Now, your new equity is $100,895, and AB would calculate a tiny % profit because it's based on the entire $100,000, not the $10,000 invested. Maybe TJ will be able to offer a better explanation tomorrow. Al Venosa
>From: "Herman van den Bergen"
>Reply-To: amibroker@xxxxxxxxxxxxxxx
>To: "Amibroker@xxxx Com"
>Subject: [amibroker] Tharp's ATR-based PositionSizing
>Date: Wed, 23 Oct 2002 11:08:29 -0400
>
>Hello,
>
>further to an earlier post by CS i added the van Tharp's
>ATR-based position sizing code to the StoRSI-BBP system we have
>been using on the list in several examples. I attach the backtest
>results for the N100 stocks. Typical results look like this:
>
> No Stops&PosSizing Tharp PositionSizing Ratio
>NoTharp/Tharp
> Range %Profit Max%DD %Profit Max%DD %Profit Max%DD
> QQQ 7/20/99-10/1/02 128.00% 34.00% 8.95% 2.00% 14.30 17.00
> N100 1250 bars 217.00% 85.00% 7.93% 6.04% 27.36 14.07
>
>
>If, like it has been mentioned on this list several times, the
>application of van Tharp's techniques are a matter of ruin or
>no-ruin then we should have at least one single person on this
>list of about 1000 who can to come forward with a practical
>example that works. My appreciation of this topic swings from
>great admiration one day to total dismay the next...
>
>Can somebody show where I went wrong and give a correct example?
>
>Best regards,
>Herman.
>
>
>
><< TharpsStops-N100.htm >>
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