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There are a variety of methods that can be used for ranking that help
to pick the more likely "winners" as it were depending on how one
defines winners. This might take the form of highest CAR with lowest
MDD's or lowest UI during the time of previous in the market
signals. There are several formulae for that can be used including
AccuTrack, NCAlpha and others which would be well known to the
FastTracker's who could probably explain them and their uses better
than I.
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> What methods of ranking would you try? Have you played with this
any?
>
> d
>
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: Tuesday, April 22, 2003 12:54 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: TradeIt
>
>
> 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
>
>
>
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