Positive annual return, but negative Avg. Profit/Loss %

I'm pretty sure I'm making a mistake with position sizing.

If I do a simple SetPositionSize( 100 / MaxPositions, spsPercentOfEquity ); I get a positive Annual Return % and a positive Avg. Profit/Loss %.

Then I try Van Tharp percent risk position size:

RiskPerShare = AtrMultiple * ATR( AtrLength );
PercentRiskPerTrade = 4.5; // Optimize("PercentRiskPerTrade", 1, .5, 5, .5);
PercentSize = PercentRiskPerTrade * BuyPrice / RiskPerShare;
SetPositionSize( PercentSize, spsPercentOfEquity );

Which gives the following (see image)`

What am I doing wrong? And how can the average pl % even be negative when the return is positive?

Follow up (not allowed to edit original post for some reason): Does this happen because I'm testing on a portfolio, rather than a single stock? Do I need to adjust for that somehow?

Average % P/L doesn't take position size into account. If you have two trades that make -10% and +8%, then your Avg %P/L is negative. But if the losing trade used 10% of your equity and the winning trade used 20% of your equity, then your system has a positive return.


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