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I'll
try to quickly comment on your questions and issues. Like you, I've
got a dozen things on the burner today and have to rush off.
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I do
run several systems in one portfolio and I do (using your words) take money out
of the best performing system and give it to a system that isn't performing as
well. Just consider a long system and a short system, for
instance. I will never be able to find a "short" system that makes
as much money as my worst "long" system. But, I have to be short in
order to be hedged. That is the purpose of a hedge
fund. So, my objective in running several systems (long,
short, fast, slow, etc.) is to smooth out the equity curve.
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We can
forget all of this, however, if we do something that you (perhaps accidentally)
suggested. We could run as many different versions of your software
as we want (one per system) if we could merge the results or append to the files
or had some way of consolidating the data into a singe report. That way,
we could look at systems individually or combined.
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I'm
not sure about "b", but I invest exactly the same number of dollars (or beta
dollars) in every stock, be it long or short. If I have more money,
I trade more stocks. If I lose money, I trade fewer stocks. If
I had $2 million to trade in a 100% hedged fund, I would be long about $900,000
and short about $900,000. I don't use margin. I could run two
versions of your AFL, if I could then figure a way to combine the
results. I'm sure that it can be done, I'm just not that familiar
with Excel.
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<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Sunday, June 08, 2003 6:02
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Portfolio Trading Module Request (6 parallel
portfolios)Chuck / b,b,I hate to
answer questions with questions ... but ...I would not think one would
want to arbitrarily take assets from portfolios that are doing well and
put them in portfolios that are not doing so well, would they really
? From a less complex point of view I wrestled for awhile regarding
how to rebalance the investment dollars in individual portfolios since
there are of course several ways to do this including an assumption that
they were going to be rebalanced every bar. This of course IMHO is
not only not really feasible in real life it also contributes to the same
sort of thing i.e. punishing the winners and rewarding the losers.
What I opted for instead was a more realistic approach of rebalancing at
the time individual holdings were sold which is why even if one shoots for
being 100% invested all the time there will at times be residual cash
in the account.Chuck,I would think in your case of
professional money management that this was not even be possible to do is
it ? i.e. rob Peter to pay Paul ... As far as being able to control what
percentage is short or long in a given portfolio I concur that this is
probably worth doing although a little esoteric and as you state not
usable by most.Chuck / b,As far as the general concept goes of
being able to manage multiple portfolios that in turn utilize multiple
scoring systems looking at different Watch Lists, from a technical point
of view it probably doesn't matter whether it's 2 or 200 portfolios, but
to get a better idea of whether or not this is even a road I want to
consider going down I'd like each of to think about what you really want
in this area.For example does each Portfolio need to be looking at
different Watch Lists ? is each one going to utilize different scoring ?
etc etc.My initial overly simplistic thought in this area is that if
the answers to all the above and other questions are all true, then why
not just set up different PT runs each of which is used to deal with
the investment philosiphy of the individual portfolio ? Except for
the concept of being able to move $ from one portfolio to another this
flies and again I question the viability of doing this.Looking forward
to your responses.Fred--- In amibroker@xxxxxxxxxxxxxxx, "Chuck
Rademacher" <chuck_rademacher@x> wrote:> 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.> > 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.> >
Fred, we would appreciate your views on this subject.>
-----Original Message-----> From: b519b
[mailto:b519b@xxxx]> Sent: Sunday, June 08, 2003 5:22
PM> To: amibroker@xxxxxxxxxxxxxxx>
Subject: [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.> >
> Yahoo! Groups
Sponsor> > > > > > Send
BUG REPORTS to bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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