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My vote goes for portfolio testing
too.
Although you can never have enough indicators I use
only half a dozen of the ones that are there anyway ... so if its a choice
between Tomasz spending his time on this or something else I cant see the point
in MORE indicators .... seems like analysis paralysis ... there are enough
already to earn money - and AFL seems good enough to tweak or invent stuff ...
and it also (used to) accept J-scripts for more compicated stuff...
However, enhancements that reproduce REAL WORLD
portfolio management stuff like........
1) Adding to a position at preset
increments/decrements in a long/short position. I have a system that adds
positions every time there is a buy signal up to a maximum of 3 positions ...
cant do this in Amibroker, so I can only test it in Excel one share at a
time .... boring ...
2) Scaling OUT of a position - for example 25%
every 5% increase
3) Controlling how many positions are active at any
time. I imagine even the most
"diversified" people only operate with a handful of open positions at any
one time. I dont know how AB handles the number of positions open at any one
time if you are backtesting the SP500 and have 100 signals over a few days
.... like now, for example, when everything is shooting upwards ... does AB open
100 positions simultaneously, or is it limited by equity? I read somewhere that
equity was per share ... but Im probably wrong. In a real world situation you
might get 10 signals on one day and have to chose just a few of them by
filtering the best. Dont know how to do this in AB ...
4) I also read the Turtle Manual that someone
posted here. There was some excellent advice on limiting the number of
positions you open in correltated/non correlatated markets. If you
have positions open already and get another signal, is there a way to
check the correltation of the new position to the current positions? If the
position you are about to open is correlated to one you already hold, its a
bit like doubling up on the first position. Sometimes it might be an idea
NOT to do this, and look for another signal that adds some balance to the
portfolio.
....... would all be VERY useful. I understand this
is a lot to ask, but Ive been seeing posts about pyramiding being implemented
for months now ... so it must be on the "to do" list ....
Ive also been checking out a program called Wealth
Lab Developer and although its much slower than AB, seems far too complicated,
and is 6 times more expensive, it does appear to have amazing flexibility
(if you like programming in something resembling Pascal) in how portfolios and
positions are controlled ... so if Tomasz wants to keep AB ahead of the pack for
people who actually trade, more portfolio and position commands have
my vote! :-)
Andy
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