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This
may not be the exact answer you are looking for (below), but my systems generate
at least fifty times more signals than I have money to invest. That
is the beauty of this ranking concept that "b" and I are so keen to
pursue. We need a way to prune down a large list of "buy" orders to
something more manageable. Without ranking, I can only use a random method
of pruning. I acheive this using the Monte Carlo Simulation
capability within TradeSim. My theory is that if ranking doesn't
outperform random selection, then my ranking method sucks.
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<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Sunday, June 08, 2003 6:15
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Portfolio Trading Module Request (6 parallel
portfolios)Chuck,One followup
comment/question here with regards to being X% long and Y% short.
One of the advantages/problems with AB is that by it's inherent nature it
processes dates within symbols as opposed to symbols within dates.
This affects the scoring and ranking but not necessarily the trading
aspects since all trading in PT is done AFTER ALL scoring and
ranking. I'd have to look into what this implies and ways to handle
it in the trading routines but for the moment lets assume that one could
control this. As a followup issue though let's assume that we are
trading four things simultaneously and we want the porfolio to be balanced
long and short as much as possible. If we sell a long position and
are still holding the other three it is conceivable that no long candidate
ranks high enough to even be noticed by the trading routines so my
question is then what ?--- In amibroker@xxxxxxxxxxxxxxx, "Fred"
<fctonetti@xxxx> wrote:> 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> > > > > > > >
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