|
PureBytes Links
Trading Reference Links
|
Sid,
The initial problem with trying to process Equity() for a portfolio
model today is that AB does not limit one to being 100% invested so
for example if one has $1mm in Equity and is doing trades of $100K
each, if AB finds 50 trades that it can take today, it will take them
all regardless of what is checked or not in the options. This of
course would make one 500% invested so as a result there's no good
way to analyze the equity curve. Beyond that of course to do real
portfolio analysis and trading one should have the capability to rank
issues via some algorithm and then trade those at any given point in
time from the top of the list down until one is either fully invested
or drops below some criteria etc.
--- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser <s9kaiser@xxxx> wrote:
> At 08:26 AM 04/19/2003 -0700, you wrote:
>
> >While we wait for TJ to design and code some portfolio testing
capability
> >for AB, has anyone tried some of the alternatives such as TradeIt?
> >
> >Chris Kryza wrote TradeIt as a post processor for AIQ trades two
or three
> >years ago and I used it a few times back then. It accepts trade
data in
> >CSV form so the thought occurred to me that it might be possible
to export
> >AB backtest data and run TradeIt on that data.
> >
> >Before I spend a bunch of time trying to get it to work I would
like to
> >know if someone has already looked at using TradeIt with AB trade
> >data. If so:
> >
> >1. did it work
> >
> >2. how difficult was it to adapt it
> >
> >3. were the results worth the effort involved
>
> TradeIT is not the worlds greatest portfolio trader, just an
available
> example that had possibilities for adaptation to AA output.
>
> I dug into the adaptation issue some this weekend. The output from
AA
> backtest can be rearranged to fit the input fields of TradeIT with
some
> help from an intermediate modification in Excel. Unfortunately
there is
> one problem I have not been able to overcome. There is no
information
> available from AA about price or equity movement between trades.
This
> information is essential to creating a comprehensive report from
> TradeIT. (see TradeIT sample file for data input fields)
>
> I believe Fred Tonetti also mentioned this as serious deficiency in
one of
> his previous posts about the limitations of what he can calculate
in his
> expanded equity indicator. You can't get there from here with the
present
> information coming out of AA.
>
> As a side issue, I am reminded once again that I want to be able to
specify
> additional calculated columns in AA backtest display. For example,
I might
> want to include MAR = CAR/MDD as a column or ( more complicated )
include
> data on max or min excursions of various data columns as part of my
AA
> results. It would also be helpful to be able to specify which data
columns
> are displayed and specify their display order. Finally, being able
to
> optimize based on something like UPI or MAR would save me time and
improve
> optimization results by offering alternatives to only optimizing on
max profit.
>
> Comments?
> Sid
>
> At this point I guess the best we can hope for is to get TJ to read
the
> TradeIT documentation for ideas on features to incorporate in his
proposed
> portfolio tester.
>
>
> ---
> Outgoing mail is certified Virus Free.
> Checked by AVG anti-virus system (http://www.grisoft.com).
> Version: 6.0.471 / Virus Database: 269 - Release Date: 04/10/2003
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Make Money Online Auctions! Make $500.00 or We Will Give You Thirty Dollars for Trying!
http://us.click.yahoo.com/yMx78A/fNtFAA/AG3JAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|