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Chuck,
One comment here with reagrds to your staement about multiple
versions of the AFL ... one of the things I have in the works is the
ability to have the scoring module that is included be a generic
include if you will that is referred to as @PT-SCORE.AFL and the
ability to roll different scoring mechanisms in and out of it w/o
having to modify the main AFL per se. This coupled with having the
ability to have a "catalog" of scoring systems if you will with
possibly a form over the top of it which would allow PT to be run
without modification for lots of different situations. All and all
this I believe is good direction to take but there are a variety of
wrinkles not the least of which is that #INCLUDE is a preprocessed
command which causes it to go and get what's in @PT-SCORE prior to
running any and all AFL commands regardless of where in the code they
occur which keeps me from using xxEXEC to copy a specific scoring AFL
on top of the common holding place. Even #pragma nocache doesn't
solve this except for the second time that the AFL is run. Also
since there is no ability to write statements like #INCLUDE filename
where filename is dynamically built this is another dead end. The
only solution may be to have an outside VB or other form that is used
to drive the whole AFL process as it would then be in control and
could properly set things up prior to AFL excution, control the
execution and then deal with the results.
I know this doesn't directly deal with your desires but it does have
other benefits.
As far as your request for having market neutral capability goes
within a particlar portfolio that is certainly doable but I need to
have an answer to my other question which is what to do with $ when a
sell/cover happens and there are no remaining ranked candidates to
chose from that have their "eyes" on a trade in the same market
direction as the one that was just exited.
As far as dealing with portfolios within portfolios go, given the way
I left the score function totally open it lends itself to whatever
one can dream up in terms of trading being long or short term and/or
long or short market direction. It's conceivable in this framework
of SCORE now to for example write multiple timing systems and
multiple scoring criteria geared to the timing systems in one scoring
module each of which have an effect on what will be traded and when
and have the cream come to the top regardless of the investment
horizon and/or market direction.
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> I'll try to quickly comment on your questions and issues. Like
you, I've
> got a dozen things on the burner today and have to rush off.
>
> I do run several systems in one portfolio and I do (using your
words) take
> money out of the best performing system and give it to a system
that isn't
> performing as well. Just consider a long system and a short
system, for
> instance. I will never be able to find a "short" system that
makes as much
> money as my worst "long" system. But, I have to be short in order
to be
> hedged. That is the purpose of a hedge fund. So, my objective
in running
> several systems (long, short, fast, slow, etc.) is to smooth out
the equity
> curve.
>
> We can forget all of this, however, if we do something that you
(perhaps
> accidentally) suggested. We could run as many different versions
of your
> software as we want (one per system) if we could merge the results
or append
> to the files or had some way of consolidating the data into a singe
report.
> That way, we could look at systems individually or combined.
>
> I'm not sure about "b", but I invest exactly the same number of
dollars (or
> beta dollars) in every stock, be it long or short. If I have more
money, I
> trade more stocks. If I lose money, I trade fewer stocks. If I
had $2
> million to trade in a 100% hedged fund, I would be long about
$900,000 and
> short about $900,000. I don't use margin. I could run two
versions of
> your AFL, if I could then figure a way to combine the results.
I'm sure
> that it can be done, I'm just not that familiar with Excel.
>
>
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: Sunday, June 08, 2003 6:02 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Portfolio Trading Module Request (6
parallel
> portfolios)
>
>
> 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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