|
PureBytes Links
Trading Reference Links
|
Hi Tomasz,
>> I used to use 25,000,000 yen in the old backtester. It was
>> enough, because the backtester gave that much equity to each
>> symbol, if I understand correctly, so I never "ran out" of cash.
>> So now, if I have the possibility of 10 open positions, I need to
>> make that equity setting ~10x higher in the portfolio tester?
>> Just trying to get my feet on the ground with this.
TJ> It depends. If you want to trade each and every signal generated on
TJ> each symbol then yes. Please do not forget about specifying
TJ> PositionSize = -10;
TJ> so each security in your case does not get more than 10% of portfolio
TJ> equity.
Okay, I think I don't need that, because I use a PositionSize
statement inside my formula which sets the share amount per symbol.
This has basically the same affect by controlling the number of
shares in each position, again based on symbol.
TJ> The second idea behind portfolio backtester is that you have LOTS of stocks
TJ> but not that lots of money. And you try to run your system that
TJ> generates many signals on lots of symbols and you DON'T have enough
TJ> cash to put into all those trades. So you need to PICK some of them.
TJ> Picking trades is made using PositionScore variable.
TJ> As in example formula
TJ> PositionScore = 100- RSI();
TJ> gives higher score to symbols having lower RSI.
TJ> Now if your system generates more signals simultaneously than
TJ> available cash or max. num of open positons then it will drop
TJ> some of the possible trades and enter only those that have
TJ> highest scores.
This is a nice idea, and some day I might use the PBT this way. For
the moment however, the best thing about it for me is that it
correctly states (at least I think it does) the max. sys. DD, which
on the other backtester simply gave the largest max. sys. DD from any
one of the symbols tested, rather than the total. Am I right about
this? Of course, the other scoring information is great too, and the
bar-by-bar detailed report is fantastic.
Now, given the way I want to use this at the moment (enough cash to
ensure all possible positions are taken), is there any reason why the
net result (profit or loss) run on the same stocks for the same
period would not be exactly the same?
Yuki
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Rent DVDs Online - Over 14,500 titles.
No Late Fees & Free Shipping.
Try Netflix for FREE!
http://us.click.yahoo.com/JYdFFC/XP.FAA/ySSFAA/GHeqlB/TM
---------------------------------------------------------------------~->
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 http://docs.yahoo.com/info/terms/
|