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Hi b,
Thanks for the info. If I can workup a practical procedure I'll post it.
Foster
----- Original Message -----
From: "b" <b519b@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, March 27, 2004 10:40 AM
Subject: Re: [amibroker] Re: Sector Trading (for Foster)
> Foster,
>
> Your detailed reply is most thought-provoking.
>
> As for the equity feed back problem, I think that might be
> possible to do in a single AFL code sequence - if one is
> trading an ETF (or mutual fund) for each sector.
>
> If one is not trading ETFs but rather is trading one's own
> portfolio of stocks from a sector, then things are a lot
> more complex because the portfolio equity curve is only
> created after the main part of the AFL code has run. In
> this latter case, one would have to rename the ~~~Equity
> ticker to something like ~EC_1. Then rerun the code for the
> next sector and rename that ~~~Equity ticker to ~EC_2, and
> so on for all the sectors one is interested in. Then one
> would load a new AFL that would just trade ~EC_1, ~EC_2,
> etc.
>
> It is important to include reasonable slippage, but one
> does not want to include slippage twice. In my mind, it
> would be best to set slippage and commissions to 0 (zero)
> when creating ~EC_1, etc. and used regular slippage when
> switching between ~EC_1 and ~EC_2, etc.
>
> b
>
>
> --- "Foster J. Castner" <fcastner@xxxxxxxxxxxx> wrote:
> > Rotational trading can be based on most any measure of
> > performance. To my
> > knowledge, some of the more common measures used are
> > Alpha, return,
> > multiperiod returns with different weight assignments to
> > the different
> > periods, relative strength, momentum, , etc. Stops are
> > sometimes employed.
> >
> > The selection of the individual stocks or funds that
> > makeup the trading
> > group is also important. Vehicles with high relative
> > correlations (R
> > Squared) are usually avoided for obvious reasons. Groups
> > made up of stocks
> > or funds with widely different volatilies are usually
> > avoided because the
> > same set of parameters will usually not be optimum for
> > all. Sometimes this
> > can be partially compensated for by dividing by standard
> > deviation or some
> > other measure of volatility.
> >
> > Another possible way around the problem associated with
> > greatly different
> > volatilities (and various other problems) would be to set
> > up individual,
> > optimum trading systems for each vehicle in the trading
> > group and then setup
> > a rotational system to trade the equity curves for those
> > individual, optimum
> > trading systems. The objective would be to stay invested
> > in only the best
> > performing trading system/vehicle at any given time.
> > Unfortunately, I don't
> > know how to program that in afl. I posted a request for
> > help with this
> > problem sometime ago but received no replies. I guess
> > what I need to know
> > is how to use the equity curve data in a PositionScore
> > statement such as-
> >
> > PositionScore = EMA(C, 9) - EMA(C, 16);
> >
> > with the equity curve data replacing the C.
> >
> > Foster
> >
>
>
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