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b,
Acknowledged ...
As far as starting the tests goes there will undoubtedly be some
automation etc. to the front end as well.
Regarding one portfolio overwhelming another, I understand and
sympathize but personally I look to develop individual trading models
that can stand alone. For personal investing this keeps things much
simpler and IMHO simple is good.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "b519b" <b519b@xxxx> wrote:
> The Excel optimation is good. One would still have tell AB to run
> the individual portfolios.
>
> The setting one puts for position sizing would be not be important
> if the portfolios shared profits. Since they do not, position size
> would need to be constant so that a slightly more profitable system
> does not overpower the other ones.
>
> For example, consider this. System A is my primary system - the one
> that make the profits. System B is my hedge system - the one that
is
> only included to smooth out the drawdowns of System A. System B is
> mildly profitable on its own, but it has the remarkable ability to
> be profitable when A enters one of its unpredictable but
significant
> drawdowns.
>
> In real life, I would periodically rebalance funds from system A to
> B during normal times (or from B to A after a major drawdown by A).
> But in testing, if I can not rebalance, then A will become larger
> than B if compounding of profits is allowed. This would not be
> significant at the beginning of the combined equity curve, but by
> the middle and end A could be so much larger than B that it would
> seem that B is a very poor stablizer.
>
> b
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > b,
> >
> > Regarding the negatives ...
> >
> > 1. I don't see any reason why position size would have to be a
> > constant as long as assets are not shared between portfolios.
> >
> > 2. Excel has it's own automation tools and as should be noted
> from
> > other conversation regarding xxTool, there are already in the
> works
> > back end automation of report viewing in Excel.
> >
> > Fred
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "b519b" <b519b@xxxx> wrote:
> > > --- "Fred" <fctonetti@xxxx> wrote:
> > > > For each run that you set up
> > > > for each of your individual portfolios
> > > > you by definition today get a resulting
> > > > account file which will have the equity
> > > > curve numbers associated with it and if
> > > > necessary it would be a simple enough
> > > > task to combine multiple account files
> > > > into a master account file that shows
> > > > the overall equity line ...
> > > >
> > > > Doesn't that suffice without making PT
> > > > more complicated then it already is ?
> > >
> > > Fred,
> > >
> > > Simplicity is a virtue.
> > >
> > > Combining the equity curves of multiple independent runs would
> > > provide PART of what I was thinking of. Perhaps, that part is
> all
> > > that is really needed. This is a tentative conclusion based on
> the
> > > following thoughts:
> > >
> > > Positives of the Keep It Simple approach (no multiple portfolio
> > > ability):
> > >
> > > 1. This can be done NOW. No need to wait. A plus.
> > >
> > > 2. One can use the full range of AFL settings for each system:
> To
> > > keep coding demands within reason, a multiple portfolio module
> > > likely would require the systems to share various settings
(such
> as
> > > the number of stocks, the initial capital, etc.)
> > >
> > > Negatives:
> > >
> > > 1. Position size would have to be constant (no letting profits
> > > compound). This is necessary so the curves can be combined,
> > > otherwise, a curve with a slight advantage annual would in time
> be
> > > double the size of the other curve.
> > >
> > > 2. The Simple method will be FAST in AB but SLOW in practice
> since
> > > much of what could be automated in AB will have to be done
> > manually.
> > > First, in AB each curve would require a modification of AFL
code
> so
> > > one would be tied to the computer during testing. Second,
> > additional
> > > time is needed to exported to Excel and lined up with the
others
> in
> > > Excel.
> > >
> > > Those listening in on the conversation may be aware of a point
I
> > > have missed. If so, speak up.
> > >
> > > Fred, I guess the issue boils down to the ease or difficulty of
> > > coding multiple portfolios into your Portfolio Module. Would it
> be
> > > very complex? If so, it could be a pain to find and eliminate
> bugs.
> > >
> > > b
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