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You
are correct and this is an acknowledged problem (at least I think its been ack$B!G(Bd).
Tomasz has mentioned that he will be introducing portfolio testing in the not too
distant future. To do this correctly now you have to have some other
method of handling the portfolio. I$B!G(Bm currently working on such and will
be using Amibroker to generate the position entry and exit signals via the
exportation of an Exploration(s) via automation. The program will then read the
CSV$B!G(Bs and make the decisions on what to trade and how much to allocate to each.
Portfolio management can be a large and
complicated project unto itself as witnessed by some of the extensive threads
that have occurred here in the past and it is the next logical and equally
important step in formula evaluation.
d
<span
>-----Original Message-----
From: Fred Tonetti
[mailto:ftonetti@xxxxxxxxxxxxx]
Sent: Saturday, April 12, 2003
12:51 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] System
Testing & Evaluation Portfolios was Trailing Stops ?
<span
>
Steve,
None of my arguments/discussion points were meant to
be an attack so PLEASE don't take them that way ... Regardless of what any
particular system returns or doesn't I would want to see results in the way I
have stated that I prefer for exactly the reasons I have stated.
All / Any,
On another front in response to and a question for
those who do baskets of stocks/portfolio trading the attached picture
represents the issue that I noticed the other day which is that it appears that
AB does NOT limit the total percentage <span
>of capital invested <font
size=2 face=Arial>to 100%
when
the possibility of <span
>simultaneous trades <font
size=2 face=Arial>is in play.
Notice in the attached picture that<span
> <span
>InitialEquity<font
size=2 face=Arial> is set to
10000 and that <font
size=2 face=Arial>PositionSize<span
> is set to 2500 but that in the
first trades that AB opens up it allows 10 positions to be opened at 2500 each
for a total of <font
size=2 face=Arial>25000 even with AllowPositionSizeShrinking<font
size=2 face=Arial> checked
!!!
Did I miss something here ? If not I would think this issue would be of
paramount importance to those <span
>testing/trading baskets/portfolios
of stocks.
<span
><<...>>
<span
>
<font size=2
face="Courier New">Send BUG REPORTS to
bugs@xxxxxxxxxxxxx<span
>
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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