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d.
I'm working on the same approach, using the .csv file as the input
file to determine several things... including chronological mkt risk,
drawdowns, possible positionsize alternatives.
Regards,
P
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> You are correct and this is an acknowledged problem (at least I think
> its been ack��d). 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��m
> 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��s 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
>
>
>
> -----Original Message-----
> From: Fred Tonetti [mailto:ftonetti@x...]
> Sent: Saturday, April 12, 2003 12:51 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] System Testing & Evaluation Portfolios was Trailing
> Stops ?
>
>
>
> 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 of capital invested to 100% when the
> possibility of simultaneous trades is in play.
>
> Notice in the attached picture that InitialEquity is set to 10000 and
> that PositionSize 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
> 25000 even with AllowPositionSizeShrinking checked !!! Did I miss
> something here ? If not I would think this issue would be of paramount
> importance to those testing/trading baskets/portfolios of stocks.
>
> <<...>>
>
>
>
>
>
>
>
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