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Chuck,
Please don't answer questions with questions ... what I'm looking for
is a specification that you'll be satisfied with and given that the
work is gratis as opposed to what would have been charged several
hundred dollars an hour for in days gone by I think this is a
reasonable request. Even if it wasn't free I'd still want the specs
before I did the work. I've dealt with users long enough regardless
of how sophisticated they are or think they are to know that usually
if you assume what they want based on a few general statements that
they make rather than asking direct questions that you wind up
designing stuff they never use and then having to do it again and
given that I'd rather be spending time scuba diving in the Caribbean
or a hundred other things I can think of instead of writing s/w I'd
really hate to write and have to do it again ...
With regards to market neutral capabilities are you wanting to have a
single parameter where you can specify a field like
MarketNeutralTolerance which would be interpretted as follows ...
0 - Implies there's no freedom that you must be long/short 50/50 ...
50 - Implies that there's 50% freedom so long/short 75/25 would be
okay but so would long/short 25/75
or is what you are wanting to have two parameters where you can
specify the MarketNeutralMaxLongPct and MarketNeutralMinLongPct which
would keep long side investments between the two assuming there were
sufficient long candidates and then shorts would be allowed to fill
in the gaps.
TIA, Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> Perhaps this is the question you want answered by me?
>
> As far as your request for having market neutral capability goes
within a
> particlar portfolio that is certainly doable but I need to have an
answer to
> my other question which is what to do with $ when a sell/cover
happens and
> there are no remaining ranked candidates to chose from that have
their
> "eyes" on a trade in the same market direction as the one that was
just
> exited.
>
> Is the scenario you are questioning any different from one where I
simply
> don't have any buy signals at all in a "long" only system?
Since "b" and I
> both primarily use a timing approach, we are in the market (long),
just over
> half the time. Therefore, there will be quite a few instances
where we
> will have exited long positions and don't wish to take new ones.
>
> If this is a problem for PT, we could certainly automatically shift
the
> money (using our own AFL logic) into a known money market or bond
fund and
> PT wouldn't know the difference. Of course, in this case we would
either
> have to automatically increase the amount invested in one
instrument or have
> multiple instruments (albeit some may be fake) to handle multiple
> transactions for the usual amount being invested in normal stocks.
>
> I hope this makes sense. This is a fairly complex subject and the
English
> language, even if it's my only language, can be a challenge at
times.
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