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I will
try very hard to answer your questions in as much detail as possible, without
asking another question.
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I
would like to be able to dynamically indicate what percentage
of available funds can be applied to long trades and what percentage could be
applied to short trades.
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The
reason that I say "dynamically" is because I would like to be able to change the
ratio from (say) 75% long when the trend is up and 25% long when the trend is
down.
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That
is what I would like to do. I would be
satisfied with being constrained to always being 50% long and
50% short.
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I can
do something in my AFL to make sure that you always have enough buy and short
signals to satisfy the minimum number of positions to have on in each direction,
even if the ticker I use is for a bond-type of fund.
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<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Tuesday, June 10, 2003 3:26
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Yo Chuck ... Regarding Staying within Hedge contract boundaries
...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 25/75or 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.Send
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