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REALLY !?
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> I prefer scenario #1, thanks.
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: Tuesday, June 10, 2003 4:17 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [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@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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