|
PureBytes Links
Trading Reference Links
|
Cheers Brian, maybe you could add this, and other stats examples, to the UKB.
Much appreciated, GRANT
brian_z111 wrote:
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>> --- In amibroker@xxxxxxxxxxxxxxx, "gruntusnomore" <gruntus@> wrote:
>>> Can't get my head around exposure percentage.
>>>
>>> In an old list post Tomasz wrote:
>>> Single bar exposure is: Value of all currently open positions /
> Total
>>> Equity (where total equity is value of all open positions plus all
>>> available funds).
>>>
>>> Now this single bar exposure is summed up for all bars and
> divided by
>>> number of bars to get system exposure. Exposure is always in the
> range
>>> of 0..100%.
>>>
>>> In ab appendix example in Howard's book he notes:
>>> The exposure - the time a system is in a position..
>>>
>>> So does the metric refer to time or equity or both? Can someone
> help
>>> with an example or two?
>>>
>>
>> 'Exposure', as defined by Tomasz (or something similar), should be
> used
>> in evaluation where a MEASURE of exposure is required.
>> As a metric, exposure quantifies risk (technically speaking risk
> should
>> always be reduced to a number). It isn't so much an absolute as a
>> relative measure (this is sufficient provided a constant method is
>> applied to the investments you are comparing).
>>
>> In Tomasz'z method the ratio of the % portfolio invested/time in
> the
>> market is the metric. Using one year as the example and assuming
> your
>> time in trade is only one day. If you invest the same amount each
> time
>> but do so less frequently then the numerator (the annual sum of
> your
>> investments) is smaller while the denominator is constant so your
>> exposure is reduced and vice versa.
>>
>> You can then use your exposure as a Risk/Reward metric.
>>
>> If two systems have the same PA% return but one has a lower %
> exposure
>> then it is a superior investment (if maximizing PA%/%exposure is
> your
>> chosen objective).
>>
>> BASIC EXAMPLE:
>>
>> If you invested 100% of your portfolio (capital) every day for a
> year
>> and you returned 15% PA your exposure would be:
>>
>> (250 bars * 100%)/250 bars per year == 100%
>>
>> (the investment could be divided into 10 'trades' of 10% of your
>> portfolio - it doesn't matter - it is the total investment per bar
>> expressed as a % of portfolio that counts).
>>
>> Your Return/Risk metric would be 15/100 == 15% (exactly what you
> would
>> expect since you were fully invested and returned 15% PA.
>>
>> Indirectly it is a measure of 'opportunity cost' - if you can
> achieve
>> 15%PA and you are only in the market half of the time then you can
>> invest somewhere else during the 'out of market period'.
>>
>> Brian_z
>>
>
> P.S. If the percentage of your capital invested is a constant e.g.
> you are always 100% invested, then %exposure is proportional to time
> in the market (so Howard is correct too).
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
>
>
>
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|