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Fred,
Well done. I have been looking for a way to do the type of testing
in AB that you describe. Would you be willing to post some sample
AFL code that show how to set things up so this will work? You could
remove the code for any trading strategies you do not wish to share.
I learn something new best by seeing working code that I can use as
a model.
Any tips or help would be much appreciated.
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> 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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