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Dingo,
In the past when I had included Expectancy as part of the
calculations in the EquityLine generation it required the
Buy/Sell/Short/Cover array. This was the only statistical item
present in that indicator that required those arrays so as a result
of removing that statistical item I have also removed the references
to that B/S/S/C Arrays. It now only depends on Equity() or
~CompEquity in the case of wanting to run a similar version for
Composites/Baskets/Portfolios etc. The problem of course is that
because AB still allows one to be more then 100% invested using
Portfolios the reporting is not accurate for those.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "dingodigital" <dingo@xxxx> wrote:
> My stupid email provider is down and I'm having to post this via
> browser.
>
> Anyway, I'm very interested in participating in this thread so bear
> with me.
>
> Fred, what does RUTTR stand for - for those of use not FT certified?
>
> Regarding your ranking comments - I asked tj this am to provide an
> example of how the new "for" construct could enable us to build
> an "optimizer" but running it in an Exploration. He provided one
and
> my thinking is that this will lend itself to using some other data
> for ranking/evaluation via the use of Addcolumn's.
>
> My question to you is (since I don't know your equity code well
> enough): Given the new functionality as desribed above - couldn't
we
> now use your equity code and export those items that we might be
> interested in? For example = your MAR, K ratio, etc? If so we can
> manipulate them in code or an Excel spdsht.
>
> If this is now possible it really opens the door for ranking
> experiments.
>
> d
>
> --- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxxx>
wrote:
> > Sid,
> >
> > One of the things that clearly does work are at least some of the
> > generalized principles that have been presented on FT-Talk and/or
> its
> > predecessors and there is probably no reason why these types of
> things
> > could not be morphed into using with stocks but the risk
associated
> with
> > stocks in general is that although they quite often bring higher
> returns
> > they also have inherently more risk.
> >
> > Any way the concepts in general that I am referring to include:
> >
> > 1. A simple market timing system a la RUTTR or some variant or
> > SIMPLE replacement for that. Hardly the best system in the world
> but
> > hardly the worst.
> > 2. The ranking of trading vehicles, whether they be stocks or
> MF's
> > based on something like MAR i.e. CAR / MDD during the periods of
> time
> > that your simple market timing system is on a buy or the inverse
of
> that
> > if you allow shorting as well. This allows for the strongest
> trading
> > vehicles to be taken advantage of during buy periods and the
weakest
> > ones to be taken advantage of during sell periods.
> > 3. The trading of or possibly even sub timing of those individual
> > trading vehicles based on some shorter term buy / sell criteria.
> >
> > The problem at the moment from an AB perspective is that I don't
> believe
> > all the pieces are in place to write the code to do this sort of
> > analysis.
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