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Yes,
thanks. That will work for me.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Tuesday, June 10, 2003 4:24
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Yo Chuck ... Regarding Staying within Hedge contract boundaries
...REALLY !?--- In amibroker@xxxxxxxxxxxxxxx,
"Chuck Rademacher" <chuck_rademacher@x> wrote:> I prefer
scenario #1, thanks.> -----Original
Message-----> From: Fred
[mailto:fctonetti@xxxx]> 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@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.> >> >>
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