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Steve,
As a followup to the post below I'll state that at one point during
the development of a scoring/ranking/backtesting AA I thought that
this either needed to be done in multiple AA's i.e. an explore to
score the stocks and rank the scores, a backtest to take the trades
based on the rankings and then an explore to do the evaluation of the
equity curve. This entails three manual steps which could be shorted
to one using OLE Automation but still leaves any desired optimization
sitting on top of the whole process swinging in the breeze or at best
being somewhat "messy" by having an external program batch processing
the modules and supplying information for the optimization. I have
since discovered however a way to put it all together in a single AA
module. Although it would still be nice to have, for me at least
this somewhat obviates the need for a built in AB solution for
portfolio trading for the time being.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Steve,
>
> Anything is possible if you write the code for it and Uenal Mutlu's
> ABTool provides a lot of functionality without which it would be
> difficult if not impossible to do, hell it was somewhat difficult
to
> do with it.
>
> IMHO replacing stocks is a function of the ranking process i.e. if
> something rises to a higher rank on the list then what one is
holding
> then you switch into the new stock and remove the lowest rank one
on
> the list but this could also be coupled with the proviso to not
> switch until one gets a sell on a particular stock.
>
> Fred
>
> --- In amibroker@xxxxxxxxxxxxxxx, "steve_almond" <steve@xxxx> wrote:
> > Fred,
> >
> > Chart looks good to me! I'm surprised by your description of the
> > system. I thought that ranking a group of stocks and picking the
> top
> > n for purchase wasn't (yet) possible in AB. How did you manage
> this?
> > How do you decide when to replace the current picks with new
picks?
> >
> > Thanks for any pointers.
> >
> > Steve
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxxx>
> wrote:
> > >
> > > Steve,
> > >
> > > As an alternative answer to your question ...
> > >
> > > If CAR is the goal with disregard to DD's and NDX (of sorts) is
> the
> > > vehicle, it's not too difficult to obtain semi decent results
> over
> > that
> > > timeframe using a simple non optimized ranking system to pick
the
> > top n
> > > candidate stocks from the NDX as a rotating portfolio to trade
> > long and
> > > short (See Attached) These are hardly what I'd call
outstanding
> > results
> > > given the size of the DD's, but given that this was in essence a
> > > "sample" ranking criteria to drive the surrounding development
> > activity
> > > the results are IMHO better than expected.
> > >
> > > Fred
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