I'd like to expand a little bit on this.
While what Tomasz has said is definitely correct, even when using a position
size of 1 unit and large intitial equity, with many trades, there's always the
- admittedly most often theoretical - danger that some trades are skipped
because of insufficient funds. As I said, in the absolute majority of cases,
this won't happen. But the problem is that you never can be 100% sure if your
results are incorrect because of some skipped trades. Knowing that this just
cannot happen because of the algorithm used gives peace of mind. Additionally,
it might be slightly cumbersome on a daily basis to always adjust initial
equity when doing such tests. A simple mouseclick or - even better - AFL line
for non-portfolio testing would be easier and one could be absolutely sure that
no trades are skipped and results are as intended.
--- In amibroker@yahoogroups.com, Tomasz Janeczko <gro...@...> wrote:
>
> Hello,
>
> You need to think again.
>
> No, there won't be ANY influence if your initial equity is large enough so no
> trade is dropped
> because of insufficient funds.
>
> Equity curve is not sum of percent profits, but actual VALUE of portfolio (in
> dollar terms).
> If all trades have equal position size (at entry), then the value of equity
> will represent
> total NET DOLLAR gain/loss of all trades, without any influence.
>
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
>
> On 2010-08-28 22:18, tstudent wrote:
> >
> >
> > If i use SetPositionSize( 1 , *spsShares* ) the size is fixed ok, but look
> > at "backtest Report".
> > There is always the influence of initial capital and ending capital.
> >
> > My net-profit% should be the sum of every single trade (for example buy at
> > 13, sell at 13.5 the results is 13.5 / 13 - 1).
> > Similarly in CHART the equityl curve should be the sum of single % profit.
> > The same for the results every month.
> >
> > Is there this possibility in Amibroker?
> >
> > Thanks
> >
> >
> > At 21.06 28/08/2010, you wrote:
> >>
> >>
> >> Hello,
> >>
> >> You just run your test with one contract
> >>
> >> SetPositionSize( 1, spsShares );
> >>
> >> (or fixed trade amount).
> >>
> >> SetPositionSize( 5000, spsValue ); // $5000 in every trade
> >>
> >> This will give you raw performance, without sizing effects.
> >>
> >> Best regards,
> >> Tomasz Janeczko
> >> amibroker.com
> >>
> >> On 2010-08-28 20:52, tstudent wrote:
> >> > Is possible, with Amibroker, to have performance results indipendent
> >> > from equity?
> >> > When i test a system i don't want posizion sizing, i don't want
> >> > initial equity, i only want evaluate every single trade without the
> >> > influence of the equity in a particular point in time.
> >> >
> >> > Thanks
> >> >
> >> >
> >> >
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