|
PureBytes Links
Trading Reference Links
|
TJ:
That's not what I meant by portfolio testing.
I know you can test multiple stocks now, but not as an
integrated portfolio. Taking your example, suppose I have a watchlist of 5
stocks. I set my positionsize at -1*buyprice/(2*ATR(10)), which means I want to
risk only 1% of my current equity on each stock, using each stock's unique
buyprice and volatility. Using the ApplyStop function, I'm going to set my max
stoploss for each stock to be 2*ATR(10) below my buyprice, so that if the
individual stock declines by that amount, I only lose 1% of equity for that
particular stock. Based on that premise, suppose my equity allocation as a
result of the positionsize statement will result in $15K in Stock A, $10 K in
Stock B, $33 K in Stock C, $25 K in Stock D, and $18 K in
Stock E. I have an initial equity of $100 K, which is the sum of those 5
stocks. My equity allocation per stock is different for each even though my risk
(as set by the max stoploss) is the same for each (1% of equity). I now wish to
backtest those 5 stocks on my system as a portfolio. Each stock may grow or
lose money at different rates, affecting the total current equity, and
subsequent investments made in each stock are affected by the new equity as well
as the new buyprice and the new ATR. The way I've always understood AB to
work is that it allocates the positionsize to each stock separately,
assuming that each stock has $100 K of equity to start out with. Are you saying
I can do what I described above now? I don't think so, but if so, how?
AddToComposite does not accomplish this.
Thank you.
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz Janeczko
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, September 12, 2003 5:34
PM
Subject: Re: [amibroker] not
understanding positionsize
Hello,
>Amibroker, at least the current version, assumes that
your entire portfolio is comprised of only one stock
This is not true. You can backtest multiple stocks (example:
set PositionSize = -20 and backtest over 5 symbol watch list the
results,
and in that case you can create portfolio equity using
AddToComposite)
>It is not capable of portfolio backtesting
Not true. It is capable of portfolio backtesting even
now.
You can run portfolio backtest using PortfolioTrader formula
for example.
Correct would be to say that AB does not have native
portfolio backtest report.
And native support will be indeed added in 4.50
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
> Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
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 the Yahoo! Terms of Service.
|