PureBytes Links
Trading Reference Links
|
Chuck,
Also in this regard ... Is it safe to assume a simple methodology for
remaining market neutral that one is going to take equisized
positions in an equal number of long & short vehicles i.e. if we have
$100K and are trading 10 things that we will take 5 positions in long
side at $10k a piece and 5 short side at $10k a piece. This would be
a fairly simplistic way to deal with the issue internally as opposed
to having to see if there were only 3 candidates on the short side
then we should be invested at ~$17k a piece to remain market
neutral. Although I could understand why one might do the latter in
real life it would be horrendous programmatically.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Chuck,
>
> With reagrds to scoring and ranking I agree completely ... but did
> that answer my question ? ... maybe it did and I'm just dense, but
> keep in mind that not all who attempt to use scoring and ranking
will
> have your level of sophistication, so I guess the question remains
if
> one is looking to remain long/short neutral and one is trading x
> securities simultaniously and one is ranking y securities where
> assumedly y is a larger number than x, if one of the securities
held
> gets sold/covered and there is not something in current rankings to
> fill it's spot with a trade in the same direction (long or short)
> then what ? It stays in cash ?
>
> Best regards,
>
> Fred
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > This may not be the exact answer you are looking for (below), but
> my systems
> > generate at least fifty times more signals than I have money to
> invest.
> > That is the beauty of this ranking concept that "b" and I are so
> keen to
> > pursue. We need a way to prune down a large list of "buy"
orders
> to
> > something more manageable. Without ranking, I can only use a
> random method
> > of pruning. I acheive this using the Monte Carlo Simulation
> capability
> > within TradeSim. My theory is that if ranking doesn't
outperform
> random
> > selection, then my ranking method sucks.
> >
> >
> > -----Original Message-----
> > From: Fred [mailto:fctonetti@x...]
> > Sent: Sunday, June 08, 2003 6:15 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Portfolio Trading Module Request (6
> parallel
> > portfolios)
> >
> >
> > 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.
> > > >
> > > >
> > > > Yahoo! Groups Sponsor
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > Send BUG REPORTS to bugs@xxxx
> > > > Send SUGGESTIONS to suggest@xxxx
> > > > -----------------------------------------
> > > > Post AmiQuote-related messages ONLY to:
> amiquote@xxxxxxxxxxxxxxx
> > > > (Web page:
http://groups.yahoo.com/group/amiquote/messages/)
> > > > --------------------------------------------
> > > > Check group FAQ at:
> > > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > >
> > > > Your use of Yahoo! Groups is subject to the Yahoo! Terms
of
> > > Service.
> >
> >
> > Yahoo! Groups Sponsor
> >
> >
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Get A Free Psychic Reading! Your Online Answer To Life's Important Questions.
http://us.click.yahoo.com/Lj3uPC/Me7FAA/ySSFAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|