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--- In amibroker@xxxxxxxxxxxxxxx, Grant Noble <gruntus@xxx> wrote:
>
> Cheers Brian, maybe you could add this, and other stats examples,
to the UKB.
Yes, it would make a worthy topic.
It does keep bobbing up in my shortlist.
There is still some juice in topic 1 yet but I expect I'll be around
a long time so there is always a chance.
Brian_z
> Much appreciated, GRANT
>
> brian_z111 wrote:
> > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@>
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
> >
> >
> >
> >
>
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