Perfect
On Tuesday, June 28, 2016 5:30 PM, "'Sean ONeill' oneillseanp@verizon.net [amibroker]" <amibroker@yahoogroups.com> wrote:
Hi Vandan,
I would be curious about what kind of results you get at some different drawdown levels.
-S
From: amibroker@yahoogroups.com [mailto:amibroker@yahoogroups.com]
Sent: Tuesday, June 28, 2016 11:28 AM
To: amibroker@yahoogroups.com
Subject: Re: [amibroker] Re: code for Clenow book
Sent: Tuesday, June 28, 2016 11:28 AM
To: amibroker@yahoogroups.com
Subject: Re: [amibroker] Re: code for Clenow book
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
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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