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What
methods of ranking would you try? Have you played with this
any?
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<FONT
face=Tahoma size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx] Sent: Tuesday, April 22, 2003 12:54
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
TradeItSid,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
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