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<FONT face=Arial color=#0000ff
size=2>Fantastic, thanks.
<FONT face=Arial color=#0000ff
size=2>
I
would never distribute your software.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Tuesday, June 10, 2003 4:35
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Yo Chuck ... Regarding Staying within Hedge contract boundaries
...You asked for it ... you got it ... Toyota
...I will send you along an "alpha" version direct shortly for your
perusal and testing ... please read the revision history as there are
other things in there that will affect what you are doing.
Please don't redistribute as at this juncture it will hardly be
thoroughly tested.Fair enough ?--- In
amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher" <chuck_rademacher@x>
wrote:> Yes, thanks. That will work for
me.> -----Original Message-----> From:
Fred [mailto:fctonetti@xxxx]> Sent: Tuesday, June 10, 2003
4:24 AM> To: amibroker@xxxxxxxxxxxxxxx>
Subject: [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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