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Thank you, TJ. That's great news. I'll wait
until 4.5 rather than learning PT.
BTW, it must be 3:20 AM in Poland right now.
Do you suffer from insomnia? Get some sleep, will ya'? :-))
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz Janeczko
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, September 12, 2003 7:49
PM
Subject: Re: [amibroker] not
understanding positionsize
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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