Uncategories Re: [amibroker] Re: code for Clenow book

Re: [amibroker] Re: code for Clenow book

Coolman 08.27
 

Hi Bruce:

Yes, I do risk based position sizing. I use:

//Calculate purchase size
lbp = 21; //one month
RiskPerShare =  3 * ATR(lbp);
PositionRisk = 1.5;     //PosRisk risk 1.5% of equity
PctSize =  PositionRisk * BuyPrice / RiskPerShare;

I set PositionRisk = 1.5 because I wanted to have ~10 to 15 stocks in my portfolio.
Using 1% (as done in the book) results in 15 to 18 tickers.

In back testing, this significantly outperformed the 1/n sizing. If I remember correctly (this was done 2months ago), the difference was (keeping everything same): ~19% CAR with VanTharp position sizing and ~16% using 1/n position sizing.

If you want exact numbers, let me know and I can run the code again tonight and get back to you.

Larry: I trade US stock market with russell 1000 components.

Vandan

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