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Some of them, sort of ...
For the issues unrelated to multiple or sub portfolios, with regards
to MoneyMarket interest, the ability to deal with that is in the
current version in the files section. Additionally whatever MMkt
fund you point at PT can be explicitly include or exclude it from
ranking depending on your preference and the parameter setting.
Margin, slippage and/or commissions, stops etc. are still things that
need to be looked at but are separate items from multiple or sub
portfolios per se.
I never suggested that one should not have multiple portfolios but
that in and of itself does not appear to be a reason to have PT be
able to deal with them all simultaneously.
I guess the real question is if you are not gonna rob the rich
portfolio to pay the poor portfolio then why not just set up mutliple
scoring methods to drive your different portfolios and run them
totally separately ? I have already explained in one of my posts to
Chuck that it is my desire to be able to have a catalog of scoring
mechanisms that can be used at will without modification to the main
AFL but that's still in development albeit hopefully semi near term.
For each run that you set up for each of your individual portfolios
you by definition today get a resulting account file which will have
the equity curve numbers associated with it and if necessary if would
be a simple enough task to combine multiple account files into a
master account file that shows the overall equity line ...
Doesn't that suffice without making PT more complicated then it
already is ?
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "b519b" <b519b@xxxx> wrote:
> --- "Fred" <fctonetti@xxxx> wrote:
> > Chuck / b,
> > I hate to answer questions with questions ... but ...
> >
>
> Fred,
>
> You raise a number of significant questions, some deal with details
> of how a multiple portfolio module could work and others touch on
> why one would want a multiple portfolio approach. First, my answer
> to why someone who want to trade 2 or more systems -- reduce
> drawdowns is the answer. If one is practising risk management,
> reduced drawdowns can increase profit (a bigger exposure can be
> taken for the same risk level.)
>
> In a previous post, my illustration pictured money being taken from
> a winning method and given to a loosing one. That was a poor
> illustration. In real life, the goal would be to trade
> simultaneously 2 systems which are both excellent by themselves. By
> trading them as a pair that share profits, the hope would be to
> reduce drawdowns without sacrificing profits. If one can reduce
> drawdowns, then a larger exposure can be taken -- to obtain higher
> profits.
>
> Now to your detailed questions about what features should be in
such
> a trading module. I will attempt to indicate what I had in mind by
> listing the types of setting that could included. Pseudo AFL will
be
> used as a format:
>
> MakePortfolio (ID, IDname, MaxStocks, PCofCAPITAL, RankingVariable,
> SlippageType, SlippageAmount);
>
> MakePortfolio (1,"LongMETHOD_1" , 10, 5, myLongMETHODscore, 1,
0.25);
>
> The above would create a portfolio with a numerical ID of "1" and a
> name used in reports of "LongMETHOD_1". It would have a maximum of
> 10 positions and each position would be 5% of the initial capital.
> Thus the above would trade a maximum of 50% of one's total
> capital. "myLongMETHODscore" is the name of ranking variable to be
> used. SlippageType "1" indicates slippage will be a percentage
> and "1.5" indicates the percentage is 1.5%.
>
> In the above, I would consider SlippageType and SlippageAmount to
be
> nice but not necessary. It would be nice to be able to specify
> different slippage assumptions for each method, but one could still
> get useful results if all methods used the same value (whatever AB
> was set to use).
>
> What about the following?
>
> MakePortfolio (1,"Long_1" , 10, 5, Long_1score, 1, 0.25);
> MakePortfolio (2,"Long_2" , 10, 2.5, Long_2score, 1, 0.25);
> MakePortfolio (3,"Long_3" , 10, 5, Long_3score, 1, 0.25);
> MakePortfolio (4,"Short_1" , 10, 2, Short_1score, 1, 0.25);
> MakePortfolio (5,"Short_2" , 10, 1, Short_2score, 1, 0.25);
> MakePortfolio (6,"Short_3" , 10, 3, Short_3score, 1, 0.25);
>
> Assuming the Long and Short scoring is set up so one has to be
> either long or short (not both at the same time), then the above
> would be trading 3 stategies each way. On the Long side the total
> exposure is 10x5 + 10x2.5 + 10x5 = 125%. That is a way to specify a
> small amount of margin leverage ont he long side. On the short side
> the maximum exposure is just 60% of capital.
>
> You ask what happens to excess capital if it can not be allocated
> due to insufficient stock. For myself, I would be happy to just let
> that unused capital remain unused. The current low interest rates
> make coding in a money market fund return to be hardly worth the
> effort.
>
> Fred, does the able help answer some of your questions about what I
> was suggesting.
>
> b
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