A loss of -2/10 is still a loss of -2/10 regardless of how much you have in the bank. Look at the *trade* metrics. If you are trading using a fixed dollar value (e.g. always $10 as in your example), then the trade metrics will be identical regardless of initial equity.
Specifcally; All trades profit/loss % Winners profit/loss % Losers profit/loss % etc. The only time the values would be different would be if too low an initial equity prevented you from entering a trade compared to a higher initial equity. Mike --- In [email protected], tstudent <tstud...@...> wrote: > > Think together. > > I have 50.000 usd, i decide to invest 10.000 usd fixed for every > trade. I start my trading system and unfortunatly at the first trade > i lose 2.000 usd. Amibroker report a loss of 2.000/50.000 = -4% > After two years my system has done a very good job. Now i have 100.000 usd > Next trade i lose the same 2.000 usd. Amibroker report a loss of > 2.000/100.000 = -2% > Do you see what i'm trying to say? > It seems that my system is more risky/volatile in the first part. > In summary: It's not possible to compare the various statistics > (average, standard deviation, sharpe and so on) in different period, > because the unit measure continually change over the time. > > Understand me, i'm not saying that actual Amibroker metric is wrong. > Of course it's not. > What i'm trying to say is that i'd like to have also a neutral metric > for validate my trading system. > A metric indipendent from dollar. > And it could be useful also for compare different trading systems. > > Is possible to have a backtest report not dollar dependent? > > Of course i can export in excel all the trades and do all the > calculations i want. > But what i'm asking for is if there is the possibility to automatize > the process and have an easy and fast way built in Amibroker. > > Thank you > > > At 22.37 28/08/2010, you 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 >
