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hello,
My basic problem is that i have gone past the indicator building part and i thought it was the tough part , and reached a point where i have to build a portfolio and manage it.Basically i have reached a stage where i now have to develop a system to build and maintain a portfolio and i really haven't a clue how to go about it.I mean i can build and optimise a system to my comfort and it can give me signals when to enter/exit .I can scan and it gives me various signals that are bulllish bearish and sideways but that is going slam bam i mean its not really methodical investing , they are just trade signals for the various stocks.Nothing to do with position size and asset allocation,cash position , how much to invest ,how much cash to have aside etc etc I thought maybe one used the various
ratios but how to use them ? May be a chart or something to illustrate .Your mail was basically before the advanced modifications but i was wondering whether there was some chart or graph to go about developing or to illustrate the state of the portfolio's health .
--- N !!
Fred <ftonetti@xxxxxxxxxxxxx> wrote:
N,
I'm not sure what you are wanting charts of ... However, you can
make your own using the equity indicator I pointed at earlier.
--- In amibroker@xxxxxxxxxxxxxxx, Natasha !! <dynomitedoll_ddd@xxxx>
wrote:
> hello Fred ,
>
> With Reference to message 42537 :
> *******************************************
> 42537
> From: Fred Tonetti <fctonetti@>
> Date: Sun Jun 15, 2003 11:13am
> Subject: Re: Equity Line fctonetti
> Offline Offline
> Send Email Send Email
>
> Keith,
>
> K-Ratio is a measurement of the straightness of the equity
curve
or how
> well the equity curve fits its own linear regression if you will.
For
> compounding systems the measurement would be the straightness on a
log
> scale. (See Attached)
>
> UI = Ulcer Index. A measurement of downside volatility. The smaller
> this value is, the less investment ulcers one will have. It is the
> square root of the average of the squared retracements. One may
think
> of it as the bottom half of the standard deviation. It does not
> penalize for upward volatility as does the standard deviation.
>
> UPI = Ulcer performance Index. The greater this number the greater
the
> reward per unit of downside risk. It is calculated by subtracting
5.4%
> from the annualized return to bring that return to the amount above
> risk free Treasury Notes over along period of time. The resultant
is
> then divided by the Ulcer Index.
>
> I also
attached two charts of systems that I trade, the first of
which
> makes infrequent trades and therefore by its nature must suffer
more of
> the ups and downs then the second which is a frequent trader.
>
> Fred
> *********************************
>
> Please attach any charts to illustrate the above in your
message
> .It would be a help .I am also at this stage and getting little
bogged
> down .Thanks.
>
> --- N !!
>
>
>
> --- Fred <ftonetti@xxxx> wrote:
> >
> > Substitute whatever you want for Equity.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "steve_almond" <steve2@xxxx>
wrote:
> > >
> > > Fred,
> > >
> > > I had already tracked down your formula for KRatio, but it
> > > requires "Equity" to work (as in a backtest). I was hoping for
> > > something which could calculate K-Ratio from price data. Am I
> > asking
> > > the impossible?
> > >
> > > Steve
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
> > > >
> > > > I think I posted an article some time back regarding the
formula
> > > for
> > > > KRatio and you could probably find something related on the
web.
> >
> > > > However the older, seeming incorrect ( although I like it
> > better )
> > > > version of the formula can be found inside either of the
> > > > portfolio.afl's in IO.zip in the files section as it's one
of the
> >
> > > > statistics that I show in the title of the equity curve I
like to
> >
> > > > use. The number will NOT match what comes out of AB's
statistics
> >
> > > as
> > > > that has the newer version in it. However it wouldn't be
> > > difficult to
> > > > modify the calc to the newer version as it's only a slightly
> > > different
> > > > from the original formula.
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "steve_almond"
<steve2@xxxx>
> > > wrote:
> > > > >
> > > > > I know the backtest report includes the (new) K-Ratio.
> > > > > Is it possible to calculate the K-Ratio and add it to an
> > > Amibroker
> > > > > Exploration AFL? I'm thinking to try and use it as a
measure
> > > > > of "Quality of Return" for comparing stocks over the past
year
> > > (for
> > > > > example). I'm trying to identify stocks which have a
> > consistent,
> > > > > rather than extremely high, return.
> > > > >
> > > > > Any help with the formula would be much appreciated.
> > > > >
> > > > > Steve
> >
> >
> >
> >
>
> Warm regards,
> Natasha !
>
>
>
>
>
>
>
>
>
>
>
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