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>Sid,
>
>The initial problem with trying to process Equity() for a portfolio
>model today is that AB does not limit one to being 100% invested so
>for example if one has $1mm in Equity and is doing trades of $100K
>each, if AB finds 50 trades that it can take today, it will take them
>all regardless of what is checked or not in the options. This of
>course would make one 500% invested so as a result there's no good
>way to analyze the equity curve. Beyond that of course to do real
>portfolio analysis and trading one should have the capability to rank
>issues via some algorithm and then trade those at any given point in
>time from the top of the list down until one is either fully invested
>or drops below some criteria etc.
This is the reason I was trying to get TradeIT working with AA
results. TradeIT knows how much capital is available and only takes as
many trades as that amount of capital allows. Also there are a few
different ways to rank the results available in the program so it will take
only the X top candidates for inclusion in the equity calculations.
I remember clearly when I used TradeIT with AIQ that there would be a
couple times each year when there would be 10's if not 100's of potential
trades at one time followed by periods where there were nearly zero
candidates. IOW, opportunities came in bunches and with limited capital
only a few could be taken.
As you say, backtest results that do not incorporate capital limitations
are very misleading.
Cheers
Sid
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