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Fred,
While you are thinking about Chuck's suggestion, here is a closely
related one. In fact, if the following were implemented, it would
also address most or all of Chuch's desire.
I would like to be able to test the "interaction" of up to 6 methods
running in parrallel which share profit and loss. For example, I
would like to be able to "split" my funds into 6 parts. For my
purposes, equal size parts would be fine, but I see Chuck hoping for
variable size parts.
Each part would have its own ranking system. The parts
would "interact" in the sense that and losses from each part would
be shared by all the parts equally. If part A made 120K and part B
lost 60K and the other parts finished even, then all the parts would
continue on with an extra 10K each. Exactly how to implement
this "redistribution" or "rebalancing" is not all that important to
me. It could be done dynamically so it redistributes total equity
(everytime a trade is exited). Or it could be done at the end of
every month (mid trade changes in trade size could be tough to
code). Or in some other way.
Users could choose to define the ranking system for each part for
their own purposes. One person might define the ranking such that
the same market timing signal is used by all 6, but a different
selection stragey is used; perhaps 3 long and 3 short strategies.
Another user might use a single long and single short selection
strategy, but use 3 different timing signals for each.
What do you think? Is this technically possible to add to Portfolio
Trading? Or, will it be took complex or too slow?
Why did I suggest 6 parts or portfolios? Because I think I would
like to test 4 (2 long and 2 short), so 6 would give some room to
grow if I later get curious about 3 each way. Now that I think of
it, why not give the user the option of up to 10 parts. That should
satisfy even the most creative thinkers.
b
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> Fred, I am enjoying working with your PT software. Especially
once I got
> over a few problems of my own doing. I was too anxious and didn't
> thoroughly read all of the documentation.
>
> I may be the only person interested in the feature that I am going
to
> propose. In which case, it will probably just sit on the back
burner for a
> while. I suppose that there is no good reason why I can't make
the
> necessary changes myself, but it would be better if it became part
of the
> officially available version.
>
> Most of my trading must be 100% hedged. If I'm long $100, then I
must be
> short $100. It would be great, therefore, if I could impose a
limit on the
> number of positions and/or dollars for longs and shorts. Of
course, it
> would be nice if I could adjust those numbers dynamically. Some
of the
> funds I manage allow me to be between 25% and 75% long.
>
> Thanks for your consideration and thanks too for sharing your
efforts with
> the rest of us.
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