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On Sun, 11 Jan 2004 20:43:24 -0000, in Amibroker you wrote:
> Per your comment #1, add--
> SetOption("AllowPositionShrinking",True);
Yes, indeed - that's it! Thanks a lot, Dale!
Regards, Thomas
>
> 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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