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Chuck,
Ok here's the deal ... I understand the desire to be able to deal
with the percentage(s) in a dynamic way and given that the parameters
are defined in the main AFL and will therefore I think be "global"
you may very well be getting what you ask for if you set and/or reset
them in the scoring function.
But that aside for a moment ... I can do either of the scenarios I
outlined in my last post without having to constrict you to 50/50 ...
the question is which would you prefer ...
In scenario 1 ... you pick one number ... say 50 and it will keep
investments between 75/25 and 25/75 i.e. within 50% of each other
but it won't care whether you are long 75% or short 75% or anywhere
in between, it will take positions in securities based on the order
they are ranked in as long as that doesn't violate whatever the
parameter value is ...
Scenario 2 ... you pick two numbers ... say 80 and 50 and it will
constrain the longs to be between those two percentages of total
investements ...
All of the above assumes there are enough candidates on whichever
side that have been ranked. If there aren't the balance goes to cash
until there are.
Keep in mind which ever scenario you pick and even if you can change
these from the scoring function that the trading routines will NOT
instantly close positions to get in line with the new percentage(s),
they will only do so as positions are exited based on scoring.
and ... I don't care if you ask questions as to how something will
work or should work or you want to work, but I don't assume when I
ask you a question that someone elses answer is the sme as your
answer, again for the same reasons stated earlier.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> I will try very hard to answer your questions in as much detail as
possible,
> without asking another question.
>
> 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.
>
> 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.
>
> That is what I would like to do. I would be satisfied with being
> constrained to always being 50% long and 50% short.
>
> 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.
>
>
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: Tuesday, June 10, 2003 3:26 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [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 25/75
>
> 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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