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Per your comment #1, add--
SetOption("AllowPositionShrinking",True);
dale b
--- In amibroker@xxxxxxxxxxxxxxx, Thomas Ludwig <Thomas.Ludwig@xxxx>
wrote:
> Hi all!
>
> In order to test a simple high Beta strategy with the new portfolio
tester
> for the S&P100 equities I used the following code:
>
> SetForeign(".OEX");
>
> EMA1=EMA(C,40);
>
> Buy1=Cross(C,EMA1);
> Sell1=Cross(EMA1,C);
>
> RestorePriceArrays();
>
>
> Periods1=optimize("perioden",28,20,50,1);//Set the period of
Observation
>
> //****Beta***********************/
>
> Beta=(( Periods1 * Sum(ROC( C,1) * ROC(P,1),Periods1 )) -
> (Sum(ROC(C,1),Periods1) * Sum(ROC( P,1),Periods1))) / ((Periods1 *
> Sum((ROC(P,1)^2 ),Periods1)) - (Sum(ROC(P,1 ),Periods1)^2 ));
>
>
> SetOption("initialequity",100000);
> SetOption("MaxOpenPositions", 10 );
> PositionSize=-100/10;
>
> Buy=Buy1;
> Sell=Sell1;
> PositionScore=beta;
>
> It's really a very simple strategy that's based on weekly prices:
Buy the
> 10 S&P100 equities with the highest beta over 28 weeks if the OEX
crosses
> its 40-week EMA, sell them if the OEX falls below its EMA. Over the
past 10
> years that strategy worked very well and outperformed the OEX by
far. But I
> ran into some problems/questions:
>
> 1. The Backtest Report shows me under "Trades" only 9 equities
bought at
> every buy date and not 10 as specified above. How come? I applied
the test
> to my market the contains the S&P100 equities but not the OEX
itself. But
> it seems as if AB includes also the equity/index introduced with
> SetForeign(). How can I prevent that?
> 2. According to the test the 100,000 bucks invested on April 1,
1993 stood
> at 802,727 as of Dec, 15, 2003, thereof Cash was at 60,120 - see
the green
> line in the attached picture. That seems extremely high given that
the
> system should be fully invested after every buy signal which was
not the
> case - see the 1994, 1998-2000 and 2003 periods. Has this to do with
> problem no. 1? I noticed that on the first buy date the sum of all
position
> values of the bought 9 equities was several thousand dollars below
100,000.
> This supports my suspect that Amibroker included the OEX in the
number of
> positions (reducing them to 9 instead of 10) but interpreted it at
the same
> time as cash (that gained an annual interest rate of 2% as
specified in my
> settings). So it seems that the system was not fully invested when
in a
> long position.
> 3. The Backtest Report doesn't show me how the portolio performed
against
> the OEX. Of course, I can run the test for the OEX alone (and
setting
> PositionSize to -100/1) and I have done that indeed. But is there a
simpler
> way how to do that?
> 4. I don't understand how exactly turning on "Pad and align to
reference
> symbol" influences the test results.
>
> Thank you for your comments.
>
> Regards, Thomas
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