|
PureBytes Links
Trading Reference Links
|
Dave,
Well said. Use negative PositionSize to make your desired
position size a percentage of current portfolio equity.
If you are using Foreign("<FONT face="Courier New"
color=#0000ff>~~~EQUITY","C") you
are using previous run equity.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dave Merrill
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, October 11, 2003 7:21
PM
Subject: RE: [amibroker] Re: PositionSize
in Portfolio Backtester
<SPAN
class=003000817-11102003>that's correct as I understand it, though I haven't
used it yet.
<SPAN
class=003000817-11102003>
<SPAN
class=003000817-11102003>one thing I'm not clear on is exactly when ~~~EQUITY
gets updated. for instance, in ranked systems, I think our code must run
during a first pass through each stock, but nothing is being traded at that
time. it seems like this has to be true, since scores for all stocks have
to be calculated before they can be ranked to determine which ones to buy.
after collecting signals and scores for all stocks, another pass must be made,
doing the actual trades, and that's when ~~~EQUITY must get calculated.
<SPAN
class=003000817-11102003>
<SPAN
class=003000817-11102003>if that's so, referencing it in our code would be
looking at the previous completed run, which might be a different system, date
range, or universe of stocks, no necessary relation at all to the current
backtest.
<SPAN
class=003000817-11102003>
<SPAN
class=003000817-11102003>perhaps tomasz or someone else can verify
that?
<SPAN
class=003000817-11102003>
<SPAN
class=003000817-11102003>also, I'm sure you know this, but negative
PositionSize is interpreted as a percentage, so investing a simple fraction of
current equity doesn't require ~~~EQUITY.
<SPAN
class=003000817-11102003>
<SPAN
class=003000817-11102003>dave
<SPAN
class=003000817-11102003>
<BLOCKQUOTE
>
No sooner did I click on my message, I came up with the
following.
EQ = <FONT face=Arial
size=1> <FONT
face=Arial>Foreign(<FONT
face=Arial>"~~~EQUITY", <FONT
face=Arial>"C"); // EQ should equal the
current day equity
<FONT
face=Arial>
EQ = <FONT face=Arial
size=1> Ref(<FONT
face=Arial>Foreign(<FONT
face=Arial>"~~~EQUITY", <FONT
face=Arial>"C"),-1); // EQ should equal
yesterday's equity, which is what
I
would use.
<FONT
face=Arial>
<FONT
face=Arial>Confirmation from someone
appreciated.
Regards,
TonySend 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.
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
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.
|