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The Excel optimation is good. One would still have tell AB to run
the individual portfolios.
The setting one puts for position sizing would be not be important
if the portfolios shared profits. Since they do not, position size
would need to be constant so that a slightly more profitable system
does not overpower the other ones.
For example, consider this. System A is my primary system - the one
that make the profits. System B is my hedge system - the one that is
only included to smooth out the drawdowns of System A. System B is
mildly profitable on its own, but it has the remarkable ability to
be profitable when A enters one of its unpredictable but significant
drawdowns.
In real life, I would periodically rebalance funds from system A to
B during normal times (or from B to A after a major drawdown by A).
But in testing, if I can not rebalance, then A will become larger
than B if compounding of profits is allowed. This would not be
significant at the beginning of the combined equity curve, but by
the middle and end A could be so much larger than B that it would
seem that B is a very poor stablizer.
b
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> b,
>
> Regarding the negatives ...
>
> 1. I don't see any reason why position size would have to be a
> constant as long as assets are not shared between portfolios.
>
> 2. Excel has it's own automation tools and as should be noted
from
> other conversation regarding xxTool, there are already in the
works
> back end automation of report viewing in Excel.
>
> Fred
>
> --- In amibroker@xxxxxxxxxxxxxxx, "b519b" <b519b@xxxx> wrote:
> > --- "Fred" <fctonetti@xxxx> wrote:
> > > For each run that you set up
> > > for each of your individual portfolios
> > > you by definition today get a resulting
> > > account file which will have the equity
> > > curve numbers associated with it and if
> > > necessary it would be a simple enough
> > > task to combine multiple account files
> > > into a master account file that shows
> > > the overall equity line ...
> > >
> > > Doesn't that suffice without making PT
> > > more complicated then it already is ?
> >
> > Fred,
> >
> > Simplicity is a virtue.
> >
> > Combining the equity curves of multiple independent runs would
> > provide PART of what I was thinking of. Perhaps, that part is
all
> > that is really needed. This is a tentative conclusion based on
the
> > following thoughts:
> >
> > Positives of the Keep It Simple approach (no multiple portfolio
> > ability):
> >
> > 1. This can be done NOW. No need to wait. A plus.
> >
> > 2. One can use the full range of AFL settings for each system:
To
> > keep coding demands within reason, a multiple portfolio module
> > likely would require the systems to share various settings (such
as
> > the number of stocks, the initial capital, etc.)
> >
> > Negatives:
> >
> > 1. Position size would have to be constant (no letting profits
> > compound). This is necessary so the curves can be combined,
> > otherwise, a curve with a slight advantage annual would in time
be
> > double the size of the other curve.
> >
> > 2. The Simple method will be FAST in AB but SLOW in practice
since
> > much of what could be automated in AB will have to be done
> manually.
> > First, in AB each curve would require a modification of AFL code
so
> > one would be tied to the computer during testing. Second,
> additional
> > time is needed to exported to Excel and lined up with the others
in
> > Excel.
> >
> > Those listening in on the conversation may be aware of a point I
> > have missed. If so, speak up.
> >
> > Fred, I guess the issue boils down to the ease or difficulty of
> > coding multiple portfolios into your Portfolio Module. Would it
be
> > very complex? If so, it could be a pain to find and eliminate
bugs.
> >
> > b
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