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Hello,
If you increase max open positions you need to adjust position
size
to somethign less than 20% of your equity, otherwise you will
run out of
money after opening 5 positions.
Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
Sent: Tuesday, May 16, 2006 7:01 PM
Subject: [amibroker] MaxOpenPositions
Query
The Amibroker manual defines "Max Open Positions" as the
"maximum
number of simultaneously open positions". I am backtesting
a
rotational trading strategy of weekly periodicity with the
following
money management parameters:
$100,000 in Starting
Equity
SetPositionSize(20,spsPercentOfEquity)
SetOption("WorstHeldRank",5)
SetOption("MaxOpenPositions,5)
90%
Market Exposure is seen with "MaxOpenPositions" >= 5 as
expected.
However, increasing the "MaxOpenPositions" above "5" actually
decreases the number of trades taken. For example:
In the
first half of 2005:
Max Open Positions = 5 gave rise to 19 trades
while
Max Open Positions = 20 gave rise to only 6 trades.
("MaxOpenPositions" >= "20" returned approximately the same
number
of executed trades).
Running Explorations on each week in
the first half of 2005 with my
PositionScore algorithm from this strategy
identified 29 weekly
trading signals, so trading signals were indeed
available. I can
understand how some of these signals might not have
been taken due
to lack of available cash. But I haven't been able to
understand
why allowing a greater number of "MaxOpenPositions" actually
decreases trading activity. There is probably a simple explanation,
but I would appreciate it if someone could enlighten me.
Thanks
for any insight you can provide.
With kind
regards,
Fred
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