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Ok - I added this line to my backtest:
AddToComposite( Equity(), "~RSI2ETFTideEquity", "X",
atcFlagEnableInBacktest = 8);
But I get a strange result - the equity curve looks the same, but the
number is in the millions (where my backtest shows in the $100k range).
Am I using it correctly in this case?
--- In amibroker@xxxxxxxxxxxxxxx, "Ron Rowland" <rowland@xxx> wrote:
>
> To create the psuedo tickers, i just run the AddToComposite function
> against the Equity() line generated in the backtest.
>
> I also do one more step (that is optional) and that is to run Bruce
> Robinson's FT-Write FNU AFL to export and save the resulting ticker
> in my FastTrack database.
>
> Yes, the summary system could be as easy as buying 20% of all five
> and then not having any sell rules. However, I tend to look at long
> back-test history and so I include provisions for quarterly or
> annual rebalancing. I also allow for variable percentages in case I
> determine that equal-weighting is not optimal.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@> wrote:
> >
> > Ron - interesting stuff. Like Ken I'm trying to do the same thing.
> > I'm curious about how you create the pseudo tickers for the
> individual
> > equity curves...can you detail this a bit more?
> >
> > And I'm guessing the summary system just buys all the equity curves
> @
> > 20% (for example) without a sell rule?
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Ron Rowland" <rowland@> wrote:
> > >
> > > Ken,
> > >
> > > I am interested in something similar. What I am trying to
> achieve is
> > > to "limit" the number of stocks/ETFs from a specific watchlist.
> I
> > > want to do this in an attempt to control/ensure diversification.
> > >
> > > For example, if I have a 5-position portfolio, I may want to
> limit
> > > the Energy sector to a maximum of 2 holdings, Tech to a max of 3,
> > > Materials to a max of 1, etc.
> > >
> > > I have not implemented anything yet, but I am thinking something
> > > along the lines of what you are thinking. My conceptual approach
> is
> > > to have a watchlist that contains my entire universe (or in your
> case
> > > a watchlist that contains all securities in your other 5
> watchlists).
> > >
> > > My thought was to rank the entire universe, then use InWatchList
> > > (EnergyETFs) to keep track of % exposure to any particular
> sector. I
> > > am assuming the CBT will be required and further assume that I
> cannot
> > > have RotationalMode enabled and that the "rotational" logic will
> have
> > > to be build into my AFL. I say this becuase I will also need
> access
> > > to current holdings and what their respective sector exposures
> are
> > > also.
> > >
> > > For your example that wants one holding from each of 5
> watchlists, I
> > > would probably use the following approach:
> > > 1) Clear new watchlist "FinalList"
> > > 2) Rank each of other 5 watchlists
> > > 3) Add top-ranked security from each of 5 watchlists to FinalList
> > > 4) Buy all securities in FinalList
> > >
> > > Another approach for your specific example (this is the approach
> I
> > > use for testing multi-strategy portfolios)
> > > 1) Create 5 systems - 1 for each watchlist
> > > 2) Run each system
> > > 3) Create psuedo tickers for the 5 equity curves
> > > 4) Create a 6th system that buys 20% of each of the 5 psuedo
> tickers
> > >
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <ken45140@> wrote:
> > > >
> > > > This is a concept that I can not recall ever being discussed.
> > > Perhaps it has
> > > > been and I just missed it or did not recognize it.
> > > >
> > > > It is just a concept and I have been thinking about how to
> start,
> > > and
> > > > frankly, have few ideas. Admittedly, my skills with the custom
> > > backtester
> > > > are limited, and I am sure the approach lies somewhere within
> the
> > > custom
> > > > backtester.
> > > >
> > > > I would like to rank each of say 5 watchlists, each of which is
> > > grouped by
> > > > the type of security.
> > > > I would like to sort/rank and specify buying say the top stock
> or
> > > fund in
> > > > each group.
> > > > I would like to add this top ranked stock/fund to a portfolio.
> > > > After a period of time, the five lists would be ranked again.
> > > > If a new top stock/fund appears, the stock previously purchased
> > > from this
> > > > same watchlist would be sold and then new top ranked fund would
> be
> > > bought.
> > > > And so forth down the same 5 watchlists.
> > > > And backtest it all.
> > > >
> > > > Might it be:
> > > >
> > > > Set up a loop and loop through 5 watchlists
> > > > Within the loop, extract the symbols.
> > > > Within another loop, rank the list of symbols against some
> > > metric.
> > > > Sort the list (perhaps using the recently published code
> by
> > > FredT for
> > > > getting ordinal values for members of a watchlist)
> > > > Save the top symbol to a StaticVariable
> > > > Complete the loop.
> > > > Retrieve the symbols from the Variables
> > > > Buy equal amounts
> > > >
> > > > Where I bog down: how to do another ranking pass say 1 month
> > > later, and
> > > > make buy and sell decisions based on new rankings?
> > > >
> > > > Again, as I said, this is just a concept. Has anyone done this
> and
> > > can you
> > > > comment on the general approach?
> > > >
> > > > Is this a useful concept to discuss?
> > > >
> > > > Thanks for any ideas.
> > > >
> > > > Ken
> > > >
> > >
> >
>
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