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--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> Thanks, TJ. I didn't catch that thread.
>
>
> ----- Original Message -----
> From: "Tomasz Janeczko" <amibroker@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, January 16, 2004 4:05 PM
> Subject: Re: [amibroker] Re: Potential problem with Portfolio
Backtester?
>
>
> > Al,
> >
> > As Yuki reported a while ago "Margin Requirement" different than
100
> > in the Settings is not handled properly in "portfolio backtest"
mode.
> > This is known bug and is going to be fixed.
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "Al Venosa" <advenosa@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Friday, January 16, 2004 8:34 PM
> > Subject: Re: [amibroker] Re: Potential problem with Portfolio
Backtester?
> >
> >
> > > Yes, Fred, and in fact I have observed this behavior, too. I
have
> noticed
> > > that, with posqty set to 4, and with $100 K total equity, based
on a
> > > volatility-based positionsize algorighm, you could easily buy
$50 K of
> very
> > > low volatility stock, $35 K of a medium volatility stock, $14 K
of a
> high
> > > volatility stock, and the remaining $1 K in the 4th, with
positionsize
> > > shrinking turned on, even though if you had had enough equity
remaining,
> you
> > > might have bought $25 K of the 4th stock.
> > >
> > > However, one puzzlement that I do have is that, if I set margin
to be 50
> > > rather than 100 in Settings, it doesn't make any difference in
the final
> > > equity achieved. You would think the final equity would be
double,
> wouldn't
> > > you? Any ideas? The position size statement is:
> > >
> > > PosQty = 4;
> > > PositionSize = -100/posqty; //this is not the volatility-based
> positionsize
> > > statement I was referring to above
> > >
> > > If the total equity is $100 K but margin is 50%, then you
really have
> $200 K
> > > total available equity with which to trade, right?
> > >
> > > TIA.
> > >
> > > Al Venosa
> > >
> > >
> > > ----- Original Message -----
> > > From: "Fred" <ftonetti@xxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Friday, January 16, 2004 12:21 PM
> > > Subject: [amibroker] Re: Potential problem with Portfolio
Backtester?
> > >
> > >
> > > > Al,
> > > >
> > > > It appears from the little test I posted that this is exactly
correct
> > > > and in addition if position size shrinking is turned on it
will
> > > > invest that left over $700 in something else as well.
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx>
wrote:
> > > > > I'd like to know the answer to your question, too. Here is
how I
> > > > would guess
> > > > > AB does it. It determines your TOTAL CURRENT equity at any
given
> > > > time. You
> > > > > said that one of your stocks exited with a $3K profit after
a few
> > > > days, but
> > > > > you didn't say what the other 9 stocks did. Suppose they
grew to a
> > > > $20 K
> > > > > profit collectively. Thus, your total current equity is now
$123 K
> > > > (the $3K
> > > > > profit from your exited position plus the $20 K open profit
from
> > > > the other 9
> > > > > stocks plus the original $100 K invested). So, according to
your
> > > > > positionsize statement, the new investment would be 10% of
$123 K
> > > > or $12.3
> > > > > K. So, you would buy $12.3 K of your new stock rather than
$13 K,
> > > > leaving
> > > > > you with $700 uninvested cash. Does this make sense? I
don't know
> > > > if it is
> > > > > correct, however.
> > > > >
> > > > > Al Venosa
> > > > >
> > > > >
> > > > > ----- Original Message -----
> > > > > From: <chuck_rademacher@x>
> > > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > > Sent: Friday, January 16, 2004 11:40 AM
> > > > > Subject: [amibroker] Potential problem with Portfolio
Backtester?
> > > > >
> > > > >
> > > > > > I'm certainly not saying that there is a bug in the
backtester.
> > > > I just
> > > > > wondered what other users think of what I see happening in
my
> > > > research. In
> > > > > fact, after typing everything that follows, I've come to the
> > > > conclusion that
> > > > > the problem is in my own AFL. However, I believe that my
coding is
> > > > exactly
> > > > > or at least similar to what everyone else is doing.
> > > > > >
> > > > > > I'll attempt to describe the situation:
> > > > > >
> > > > > > 1. I'm using the "normal" portfolio backtesting mode
with market
> > > > timing.
> > > > > My systems will typically lay on some number of positions
when
> > > > the "market"
> > > > > turns up and quit all of those positions when the market
turns
> > > > down. The
> > > > > systems do have 50% loss stops (that are seldom hit) and
profit
> > > > stops that
> > > > > are frequently hit.
> > > > > >
> > > > > > 2. Assume we are flat today.
> > > > > >
> > > > > > 3. We download our data, run our backtest and place our
orders
> > > > for
> > > > > tomorrow's open.
> > > > > >
> > > > > > 4. Assume that we have $100,000 in our account and we
have used
> > > > > PositionScore to rank our 50 or so buy signals and that we
are
> > > > going to have
> > > > > a maximum of ten positions.
> > > > > >
> > > > > > 5. We will have ten buy orders, each for about $10,000.
> > > > > >
> > > > > > 6. Let's say that after a few days, one of our positions
hits
> > > > our profit
> > > > > objective and we exit with a $3,000 profit.
> > > > > >
> > > > > > 7. This leaves us with $13,000 to invest tomorrow.
> > > > > >
> > > > > > 8. Assuming that the market is still in an up-trend, AB
(our
> > > > AFL) is
> > > > > going to find a new stock for us to buy. I believe that it
is
> > > > going to
> > > > > divide our available funds ($13,000) by ten and that it
will invest
> > > > only
> > > > > $1,300 in the stock that is replacing the stock we quit at
our
> > > > profit stop.
> > > > > Why wouldn't it? After all, it's my own AFL that says
something
> > > > like:
> > > > > >
> > > > > > PositionSize = -100/posqty;
> > > > > > or
> > > > > > PositionSize = -10;
> > > > > >
> > > > > > The questions I have are:
> > > > > >
> > > > > > 1. Do you agree that this is what is happening?
> > > > > >
> > > > > > 2. Does this explain why we are not able to achieve the
exposure
> > > > > percentages that we expect?
> > > > > >
> > > > > > 3. Would you like the buy order be for $1,300, $10,000 or
> > > > $13,000?
> > > > > >
> > > > > > 4. Have you solved this problem yourself with some fancy
AFL?
> > > > I'm
> > > > > thinking that I may, for instance, be able to calculate
position
> > > > size at the
> > > > > beginning of a market cycle and use it throughout that
cycle. In
> > > > other
> > > > > words, I would determine that for the next cycle, all
positions
> > > > will be
> > > > > $10,000. Profits would just be set aside for the next
cycle.
> > > > > >
> > > > > > I look forward to hearing from those of you who are
interested in
> > > > this
> > > > > subject.
> > > > > >
> > > > > >
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-----------------------------------------
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--------------------------------------------
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