|
PureBytes Links
Trading Reference Links
|
Perhaps someone can help me with the following:
1. How can I make sure, regardless of the strategy/system I run, that
I'm always fully invested with positionsizes equal to -100/number of
signals?
So, in the Portfolio Backtester (PFBT), I want to make sure I'm
always close to fully invested. The number of open positions is
controlled via "MaxOpenPositions", but this causes no limitation. I
first calculate, via ATC, the number of buy-signals (NrSignals) over
the test-period. Then I assign positionsize via PositionSize=-100/
(NrSignals-Ref(NrSignals,-1). Obviously, new positions are only taken
if cash is available, and the requested PositionSize is too large for
available equity. Allow positionsize shrinking corrects this, and at
least I make sure (I thought) that all cash would be re-invested in
new positions.
However, I always seem to end up (and even start) with too much cash
(in the graph of ~~~Equity).
2. Also, has anybody found a way to deal with multi-currency
securities, i.e. how to backtest a combination of US, European and
British stocks? Using currency-adjustments "in hindsight" is a
nightmare. (Suggestion for future upgrade).
Any explanation/help is much appreciated.
PS
------------------------ Yahoo! Groups Sponsor --------------------~-->
$9.95 domain names from Yahoo!. Register anything.
http://us.click.yahoo.com/J8kdrA/y20IAA/yQLSAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|