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Herman,
Tharp's code is included in the help files for
positionsize.
I don't use position size based on ATR since I just do
futures.
The amount of money varies widely among different commodities
for the same ATR value, so I have used simple bone-head percentages to
determine how much to place on trades. I end up with <FONT
size=2>PositionSize = NumCon * MarginDeposit; if I want to
buy multiple contracts. The value NumCon is the number of contracts tobuy
(or short) and can be controlled via equity, volatility, or whatever but usually
a simple percentage in my case. It will be useful when TJ allows for
multiple tiered buys (pyramiding).
While pyramiding usually leads to early equity
death, there are techniques (not in AB yet) of buying contracts in groups
of say, 5 and then selling them separately when desired criteria are met. Or
buying 3 contracts at once, then adding contracts according to a schedule which
tracks the cumulative "center of mass" of the contracts so a small downturn
won't wipe out previous gains, the usual problem of pyramiding. This just means
that after the first 3 buys, the remaining buy signals are passed through a
filter which looks at the placement of the previous buys and makes sure
that you're not adding positions that would make you "top
heavy".
I have read with interest of those who fret about
money management and stops that reduce their %profit from idealized amounts.
They are usually right. Profits usually are decreased somewhat. And their
trading longevity may be decreased without them too. I don't see money
management as a way to raise profits, but as a way to ensure profits in a long
term sense. A type of insurance policy for my trading.
I have to pay car insurance and it decreases my
capitol, but if I get into a serious wreck I will use it then continue on. Those
without insurance save short term money but are financially wiped out aftera
serious wreck and lawsuits. The short term money they once saved is now gone
too. If my trading goes into a skid, aggressive money management and stops will
give me time to correct and continue.
Since I will probably live longer that Iexpected
to, long term viability is my target.
-CS
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Herman vanden
Bergen
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, October 23, 2002 7:06
AM
Subject: RE: [amibroker] Re: PositionSize
Variable - Help - Inexplicable Results
<SPAN
class=260160414-23102002>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
means that 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 means that
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 percentage of
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 invested then
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 newreport
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 set the
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
title=amibroker@xxxxxxxxxxxxxxx
href="">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 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'tthe
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 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>
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