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Chuck,
With reagrds to scoring and ranking I agree completely ... but did
that answer my question ? ... maybe it did and I'm just dense, but
keep in mind that not all who attempt to use scoring and ranking will
have your level of sophistication, so I guess the question remains if
one is looking to remain long/short neutral and one is trading x
securities simultaniously and one is ranking y securities where
assumedly y is a larger number than x, if one of the securities held
gets sold/covered and there is not something in current rankings to
fill it's spot with a trade in the same direction (long or short)
then what ? It stays in cash ?
Best regards,
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> 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.
>
>
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: Sunday, June 08, 2003 6:15 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [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@x...]
> > > 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.
> > >
> > >
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