OmniTrader Forum OmniTrader Forum
forums calendars search
today this week
register logon control panel Forum Rules
You are currently browsing as a guest.
You should logon to access more features
A Self-Moderated Community - ALL MEMBERS, PLEASE READ!
Vote for Members who contribute the most to your trading, and help us moderate content within the Forums.

Only Forum Moderators, Administrators, and the owner of this message may delete it.

Jim Dean

Posts: 3022

Joined: 9/21/2006
Location: L'ville, GA

User Profile
Subject : RE: Most Useful PortSim-Research Alloc Method
Posted : 9/2/2018 12:54 PM
Post #45317 - In reply to #45316

Thanks for putting in that work, Mark. You're 100% right ... I should have mentioned re Researching that the starting equity should be really high. But I was mostly focused on the ills of compounding ...

Re using 1% equity vs fixed$ ... certainly the compounding is reduced ... but might I suggest that you set a cap on it as Vinay pointed out, like maybe $100,000 per trade (with $1m start).

The reason for this is that if trade sizes are allowed to grow ... to the degree that they do, it invalidates or at least largely attenuates the influence of the early half or so of the test period on the ultimate results ... thus making the A-vs-B conclusions draw to be less robust/reliable for the future.

Your mention of commissions implies to me that you're still thinking of using the same methodology for backtest-research-A-vs-B as for actual trading. I'd suggest that if you remove the actual trading part from your thinking ... and therefore also remove any consideration at all of the net-allocation graph, that it will become clear that Fixed $ is the best apples-to-apples method.

To be clear ... *I* recommend using *neither* of those methods for actual trading ... I have a "SmartSizing" approach that melds Capital tied up, Risk being taken, Hedging and Diversification. Which, obviously, isn't one of the PortSim tab options. ;~)

[Edited by Jim Dean on 9/2/2018 12:56 PM]

Deleting message 45317 : RE: Most Useful PortSim-Research Alloc Method

Nirvana Systems
For any problems or issues please contact our Webmaster at