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I
prefer scenario #1, thanks.
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<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Tuesday, June 10, 2003 4:17
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Yo Chuck ... Regarding Staying within Hedge contract boundaries
...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@xxxx]> 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.> >
> Yahoo! Groups
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