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Chuck,
One followup comment/question here with regards to being X% long and
Y% short. One of the advantages/problems with AB is that by it's
inherent nature it processes dates within symbols as opposed to
symbols within dates. This affects the scoring and ranking but not
necessarily the trading aspects since all trading in PT is done AFTER
ALL scoring and ranking. I'd have to look into what this implies and
ways to handle it in the trading routines but for the moment lets
assume that one could control this. As a followup issue though let's
assume that we are trading four things simultaneously and we want the
porfolio to be balanced long and short as much as possible. If we
sell a long position and are still holding the other three it is
conceivable that no long candidate ranks high enough to even be
noticed by the trading routines so my question is then what ?
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Chuck / b,
>
> b,
>
> I hate to answer questions with questions ... but ...
>
> I would not think one would want to arbitrarily take assets from
> portfolios that are doing well and put them in portfolios that are
> not doing so well, would they really ? From a less complex point
of
> view I wrestled for awhile regarding how to rebalance the
investment
> dollars in individual portfolios since there are of course several
> ways to do this including an assumption that they were going to be
> rebalanced every bar. This of course IMHO is not only not really
> feasible in real life it also contributes to the same sort of thing
> i.e. punishing the winners and rewarding the losers. What I opted
> for instead was a more realistic approach of rebalancing at the
time
> individual holdings were sold which is why even if one shoots for
> being 100% invested all the time there will at times be residual
cash
> in the account.
>
> Chuck,
>
> I would think in your case of professional money management that
this
> was not even be possible to do is it ? i.e. rob Peter to pay
Paul ...
> As far as being able to control what percentage is short or long in
a
> given portfolio I concur that this is probably worth doing although
a
> little esoteric and as you state not usable by most.
>
> Chuck / b,
>
> As far as the general concept goes of being able to manage multiple
> portfolios that in turn utilize multiple scoring systems looking at
> different Watch Lists, from a technical point of view it probably
> doesn't matter whether it's 2 or 200 portfolios, but to get a
better
> idea of whether or not this is even a road I want to consider going
> down I'd like each of to think about what you really want in this
> area.
>
> For example does each Portfolio need to be looking at different
Watch
> Lists ? is each one going to utilize different scoring ? etc etc.
>
> My initial overly simplistic thought in this area is that if the
> answers to all the above and other questions are all true, then why
> not just set up different PT runs each of which is used to deal
with
> the investment philosiphy of the individual portfolio ? Except for
> the concept of being able to move $ from one portfolio to another
> this flies and again I question the viability of doing this.
>
> Looking forward to your responses.
>
> Fred
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > Yes, b, I would like to see your suggestion implemented and yes
it
> does
> > adequately solve my problem as well. A much better approach to
> solving the
> > problem.
> >
> > Of course, you and/or I could add this capability to Fred's code
> ourselves.
> > But this does raise some issues. If we can convince Fred that
an
> idea has
> > merit and if he implements it, it is shared by everyone.
Another
> option
> > is for one of us to make the modifications and submit them to
Fred
> to see if
> > he is happy to add our code to his. The final option is that we
> make the
> > changes, perhaps share it with others, but it doesn't become part
> of the
> > official release of Fred's work. The downside to this is that if
> Fred makes
> > other improvements, anyone using "our" work doesn't benefit from
> Fred's
> > subsequent improvements.
> >
> > Fred, we would appreciate your views on this subject.
> > -----Original Message-----
> > From: b519b [mailto:b519b@x...]
> > Sent: Sunday, June 08, 2003 5:22 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Portfolio Trading Module Request (6
parallel
> > portfolios)
> >
> >
> > Fred,
> >
> > While you are thinking about Chuck's suggestion, here is a
closely
> > related one. In fact, if the following were implemented, it
would
> > also address most or all of Chuch's desire.
> >
> > I would like to be able to test the "interaction" of up to 6
> methods
> > running in parrallel which share profit and loss. For example, I
> > would like to be able to "split" my funds into 6 parts. For my
> > purposes, equal size parts would be fine, but I see Chuck
hoping
> for
> > variable size parts.
> >
> > Each part would have its own ranking system. The parts
> > would "interact" in the sense that and losses from each part
would
> > be shared by all the parts equally. If part A made 120K and
part B
> > lost 60K and the other parts finished even, then all the parts
> would
> > continue on with an extra 10K each. Exactly how to implement
> > this "redistribution" or "rebalancing" is not all that
important
> to
> > me. It could be done dynamically so it redistributes total
equity
> > (everytime a trade is exited). Or it could be done at the end of
> > every month (mid trade changes in trade size could be tough to
> > code). Or in some other way.
> >
> > Users could choose to define the ranking system for each part
for
> > their own purposes. One person might define the ranking such
that
> > the same market timing signal is used by all 6, but a different
> > selection stragey is used; perhaps 3 long and 3 short
strategies.
> > Another user might use a single long and single short selection
> > strategy, but use 3 different timing signals for each.
> >
> > What do you think? Is this technically possible to add to
> Portfolio
> > Trading? Or, will it be took complex or too slow?
> >
> > Why did I suggest 6 parts or portfolios? Because I think I would
> > like to test 4 (2 long and 2 short), so 6 would give some room
to
> > grow if I later get curious about 3 each way. Now that I think
of
> > it, why not give the user the option of up to 10 parts. That
> should
> > satisfy even the most creative thinkers.
> >
> > b
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> > <chuck_rademacher@x> wrote:
> > > Fred, I am enjoying working with your PT software.
Especially
> > once I got
> > > over a few problems of my own doing. I was too anxious and
> didn't
> > > thoroughly read all of the documentation.
> > >
> > > I may be the only person interested in the feature that I am
> going
> > to
> > > propose. In which case, it will probably just sit on the back
> > burner for a
> > > while. I suppose that there is no good reason why I can't
make
> > the
> > > necessary changes myself, but it would be better if it became
> part
> > of the
> > > officially available version.
> > >
> > > Most of my trading must be 100% hedged. If I'm long $100,
> then I
> > must be
> > > short $100. It would be great, therefore, if I could impose
a
> > limit on the
> > > number of positions and/or dollars for longs and shorts. Of
> > course, it
> > > would be nice if I could adjust those numbers dynamically.
> Some
> > of the
> > > funds I manage allow me to be between 25% and 75% long.
> > >
> > > Thanks for your consideration and thanks too for sharing your
> > efforts with
> > > the rest of us.
> >
> >
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> >
> >
> >
> >
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