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Joe,
The role of percentages is that you never need to know the trade size
in terms of shares. If your rule is "not more than 10 positions, each
at 10% of equity", then what do you care what the equity is? The
trade size is 10%, period. Number of shares has no meaning in this
context. The rule will fire, AmiBroker will do the math, the
backtest results will confirm or refute the confidence of the rule.
Because AFL calculates all bars at the same time (i.e. array
operations), our scripts might be described as a rubber stamp. There
is no earlier state information from which to self reference. First
there is blank paper, then there is a completed image, there are no
intermediary steps (except by the backtester). In other words,
AmiBroker cannot expose equity because equity does not exist at the
time of exercising (stamping) your logic.
This is contrary to an iterative looping approach (i.e. bar by bar)
which might more closely be described as a "connect the dots" image,
from which self referencing measurements could be made on the way to
each new dot.
Before commiting to AmiBroker, I evaluated many competitors. Most
were disqualified due to lack of portfolio support (e.g. AmiBroker's
watchlists) or lack of support for foreign symbol reference (e.g.
AmiBroker's Foreign() function).
Of those that remained, many were the bar by bar iterative model. Of
these:
- All of them brought the machine to its knees in terms of memory
demands.
- None of them, even after leaving run overnight, were able to
complete a simple exploration that took AmiBroker 12 minutes to
complete.
- Most of them simply crashed due to out of memory errors.
- The rest just hung in a state of seemingly infiniate hardware
thrashing.
Even after contacting customer support, communicating directly with
the code authors (as a professional software developer myself), and
posting in the forums, the bar by bar model simply could not scale to
handle larger portfolios (thousands of symbols in my case).
So, why not expose portfolio equity? Because it doesn't scale! The
time to do the calculations is unworkable and the machine resource
demands can be enormous depending on the underlying architecture of
the program.
By using array manipulations, yet still granting access to bar by bar
results of those manipulations after the fact, AmiBroker has provided
you everything. So, yes, you can have everything ;) And I agree, AB
is the most incredible of its kind.
As a last comment;
The equity curve of a single stock cares only about the rules as
applied to that one stock, with no concern for signal mitigation.
The equity curve of a portfolio, formed of signals coming from an
8000 symbol watchlist, must apply the formula accross all 8000
symbols, bar by bar, while ranking and sorting along the way to
resolve signal prioritization. This in addition to obeying any other
symbol by symbol constraints in place.
Portfolio equity is orders of magnitude more complicated than single
symbol equity. That is why so many vendors simply do not support
portfolio functionality.
P.S. The other thing about the bar by bar model is that virtually
every script must be thought of in terms of a loop. Based on the
confessions of some of posters on this forum, that would be a
hardship for a segment of the AB user base.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "Joe" <j0etr4der@xxx> wrote:
>
> Thanks, Mike. It's what I suspected, but wanted confirmation.
>
> -----------------------------------------------------------
> This is one of those situations in AB that just leaves me scratching
> my head. Why provide spsPercentOfEquity if you cannot determine the
> trade size without resorting to custom back test code? Or note in
the
> documentation that it cannot and give an example on how to use it
with
> custom back test code?
>
> But more generally, why not expose portfolio equity so it can be
used
> for optimization and exploration without writing custom back tester
> code? The majority of users are never going to learn object
oriented
> programming. How does portfolio equity differ from single security
> equity such that portfolio equity cannot be accessed?
>
> Oh, well, you can't have everything. Certainly cannot understand
> everything. AB is still the most incredible product of its kind.
>
> All the best,
>
> Joe
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> > You can't. You must write a custom backtest loop and apply the
value,
> > as a percentage and corrected for sign, against the bar by bar
equity
> > property of the backtester object.
> >
> > http://www.amibroker.com/guide/a_custombacktest.html
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Joe" <j0etr4der@> wrote:
> > >
> > > Hello,
> > >
> > > When using SetPositionSize like this:
> > >
> > > SetPositionSize ( 20, spsPercentOfEquity );
> > >
> > > how do you determine what the position size is in the formula
since
> > > real-time portfolio equity is not accessible?
> > >
> > >
> > > PosSize = PositionSize;
> > >
> > > returns -20 in this case.
> > >
> > >
> > > Thanks,
> > >
> > > Joe
> > >
> >
>
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