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Al,
What you are referring to I would call portfolio-based
position sizing which is more than plain portfolio testing.
But it does not matter how we would call it.
You could do this using similar approach as one used by
PortfolioTrader. It builds its own equity table from scratch.
It is quite a pain to write on your own. V 4.50 will make
it easy.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Al
Venosa
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, September 13, 2003 1:37
AM
Subject: Re: [amibroker] not
understanding positionsize
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
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