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You asked for it ... you got it ... Toyota ...
I will send you along an "alpha" version direct shortly for your
perusal and testing ... please read the revision history as there are
other things in there that will affect what you are doing. Please
don't redistribute as at this juncture it will hardly be thoroughly
tested.
Fair enough ?
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> Yes, thanks. That will work for me.
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: Tuesday, June 10, 2003 4:24 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Yo Chuck ... Regarding Staying within
Hedge
> contract boundaries ...
>
>
> REALLY !?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > I prefer scenario #1, thanks.
> > -----Original Message-----
> > From: Fred [mailto:fctonetti@x...]
> > Sent: Tuesday, June 10, 2003 4:17 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Yo Chuck ... Regarding Staying within
> Hedge
> > contract boundaries ...
> >
> >
> > Chuck,
> >
> > Ok here's the deal ... I understand the desire to be able to
deal
> > with the percentage(s) in a dynamic way and given that the
> parameters
> > are defined in the main AFL and will therefore I think
be "global"
> > you may very well be getting what you ask for if you set
and/or
> reset
> > them in the scoring function.
> >
> > But that aside for a moment ... I can do either of the
scenarios I
> > outlined in my last post without having to constrict you to
> 50/50 ...
> > the question is which would you prefer ...
> >
> > In scenario 1 ... you pick one number ... say 50 and it will
keep
> > investments between 75/25 and 25/75 i.e. within 50% of each
other
> > but it won't care whether you are long 75% or short 75% or
> anywhere
> > in between, it will take positions in securities based on the
> order
> > they are ranked in as long as that doesn't violate whatever
the
> > parameter value is ...
> >
> > Scenario 2 ... you pick two numbers ... say 80 and 50 and it
will
> > constrain the longs to be between those two percentages of
total
> > investements ...
> >
> > All of the above assumes there are enough candidates on
whichever
> > side that have been ranked. If there aren't the balance goes
to
> cash
> > until there are.
> >
> > Keep in mind which ever scenario you pick and even if you can
> change
> > these from the scoring function that the trading routines
will NOT
> > instantly close positions to get in line with the new
percentage
> (s),
> > they will only do so as positions are exited based on scoring.
> >
> > and ... I don't care if you ask questions as to how something
will
> > work or should work or you want to work, but I don't assume
when I
> > ask you a question that someone elses answer is the sme as
your
> > answer, again for the same reasons stated earlier.
> >
> > Fred
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> > <chuck_rademacher@x> wrote:
> > > I will try very hard to answer your questions in as much
detail
> as
> > possible,
> > > without asking another question.
> > >
> > > I would like to be able to dynamically indicate what
percentage
> of
> > available
> > > funds can be applied to long trades and what percentage
could be
> > applied to
> > > short trades.
> > >
> > > The reason that I say "dynamically" is because I would like
to
> be
> > able to
> > > change the ratio from (say) 75% long when the trend is up
and
> 25%
> > long when
> > > the trend is down.
> > >
> > > That is what I would like to do. I would be satisfied with
> being
> > > constrained to always being 50% long and 50% short.
> > >
> > > I can do something in my AFL to make sure that you always
have
> > enough buy
> > > and short signals to satisfy the minimum number of
positions to
> > have on in
> > > each direction, even if the ticker I use is for a bond-type
of
> fund.
> > >
> > >
> > > -----Original Message-----
> > > From: Fred [mailto:fctonetti@x...]
> > > Sent: Tuesday, June 10, 2003 3:26 AM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Re: Yo Chuck ... Regarding Staying
within
> > Hedge
> > > contract boundaries ...
> > >
> > >
> > > Chuck,
> > >
> > > Please don't answer questions with questions ... what I'm
> looking
> > for
> > > is a specification that you'll be satisfied with and given
> that
> > the
> > > work is gratis as opposed to what would have been charged
> several
> > > hundred dollars an hour for in days gone by I think this
is a
> > > reasonable request. Even if it wasn't free I'd still
want the
> > specs
> > > before I did the work. I've dealt with users long enough
> > regardless
> > > of how sophisticated they are or think they are to know
that
> > usually
> > > if you assume what they want based on a few general
statements
> > that
> > > they make rather than asking direct questions that you
wind up
> > > designing stuff they never use and then having to do it
again
> and
> > > given that I'd rather be spending time scuba diving in the
> > Caribbean
> > > or a hundred other things I can think of instead of
writing
> s/w
> > I'd
> > > really hate to write and have to do it again ...
> > >
> > > With regards to market neutral capabilities are you
wanting to
> > have a
> > > single parameter where you can specify a field like
> > > MarketNeutralTolerance which would be interpretted as
> follows ...
> > >
> > > 0 - Implies there's no freedom that you must be
long/short
> > 50/50 ...
> > > 50 - Implies that there's 50% freedom so long/short 75/25
> would be
> > > okay but so would long/short 25/75
> > >
> > > or is what you are wanting to have two parameters where
you
> can
> > > specify the MarketNeutralMaxLongPct and
> MarketNeutralMinLongPct
> > which
> > > would keep long side investments between the two assuming
> there
> > were
> > > sufficient long candidates and then shorts would be
allowed to
> > fill
> > > in the gaps.
> > >
> > > TIA, Fred
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> > > <chuck_rademacher@x> wrote:
> > > > Perhaps this is the question you want answered by me?
> > > >
> > > > 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.
> > > >
> > > > Is the scenario you are questioning any different from
one
> > where I
> > > simply
> > > > don't have any buy signals at all in a "long" only
system?
> > > Since "b" and I
> > > > both primarily use a timing approach, we are in the
market
> > (long),
> > > just over
> > > > half the time. Therefore, there will be quite a few
> instances
> > > where we
> > > > will have exited long positions and don't wish to take
new
> ones.
> > > >
> > > > If this is a problem for PT, we could certainly
> automatically
> > shift
> > > the
> > > > money (using our own AFL logic) into a known money
market or
> > bond
> > > fund and
> > > > PT wouldn't know the difference. Of course, in this
case
> we
> > would
> > > either
> > > > have to automatically increase the amount invested in
one
> > > instrument or have
> > > > multiple instruments (albeit some may be fake) to handle
> > multiple
> > > > transactions for the usual amount being invested in
normal
> > stocks.
> > > >
> > > > I hope this makes sense. This is a fairly complex
subject
> and
> > the
> > > English
> > > > language, even if it's my only language, can be a
challenge
> at
> > > times.
> > >
> > >
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