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Yes,
b, I would like to see your suggestion implemented and yes it does adequately
solve my problem as well. A much better approach to solving the
problem.
<FONT face=Arial color=#0000ff
size=2>
Of
course, you and/or I could add this capability to Fred's code
ourselves. But this does raise some issues. If we
can convince Fred that an idea has merit and if he implements it, it is shared
by everyone. Another option is for one of us to make the
modifications and submit them to Fred to see if he is happy to add our code to
his. The final option is that we make the changes, perhaps share it
with others, but it doesn't become part of the official release of Fred's
work. The downside to this is that if Fred makes other improvements,
anyone using "our" work doesn't benefit from Fred's subsequent
improvements.
<FONT face=Arial color=#0000ff
size=2>
Fred,
we would appreciate your views on this subject.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: b519b
[mailto:b519b@xxxxxxxxx]Sent: Sunday, June 08, 2003 5:22
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Portfolio Trading Module Request (6 parallel
portfolios)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.Send
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