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[amibroker] Re: Portfolio Trading Module Request (6 parallel portfolios)



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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.
> >   > >
> >   > >
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