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Al,
I really don't know why this pretty basic idea is so difficult to explain.
Just for simplicity I skipped in my previous e-mail NOT the ability of choosing
trades in regular mode based on ranking. I did not want to present all flavours
for simplicity only. Once again for complete discussion please go to amibroker-beta group.
I will address your concerns here once and only once again below:
----- Original Message -----
From: "Al Venosa" <advenosa@xxxxxxxxxxxx>
> But TJ, you just confused me, which with me is always easy to do. :-)) When
> you are in regular portfolio mode and you are trading, say, a market timing
> system where you buy x no. of stocks at the same time, when you get a buy
> signal, you want to chose the x-highest ranked stocks based on whatever
> criterion/criteria you decide to rank your stocks by. You certainly don't
> want to choose the x stocks at the top of the alphabetical list.
The KEY word is "WHEN" in your:
"buy x no. of stocks at the same time, when you get a buy signal"
so you are using regular mode and it is OK.
Regular mode of course allows you to pick trades with highest score
but this is "extra" feature. And it picks the TRADES. So in regular mode,
first on all symbols buys and sells are evaluated and matched
to give TRADE candidates. Then if you don't have sufficient funds
or you don't allow as many open positions as there are candidate trades
then TOP-x trades are picked according to score.
But this happens AFTER knowing ENTRY and EXIT point.
> In other
> words, you are buying when something happens, and your system is
> signal-based, yet you want to buy the highest ranked stocks, too.
Of course it is signal-based. But you don't buy highest ranked stocks in fact.
You buy only THOSE highest ranked stocks THAT HAD ENTRY SIGNAL
at given time. This is fundamentally different.
In rotational mode there are NO entry/exit signals.
In regular mode there ARE entry/exit signals.
In rotational mode the score decides not only WHAT you purchase
but also WHEN you trade.
In regular mode the score does NOT decide WHEN you trade.
And this is the difference.
> So, you do
> NOT want to use a rotational system; you want to use a signal-based system
> that also ranks stocks. According to your message below, what I describe
> above seems to be a hybrid of regular mode and rotational mode.
Not really. Your system is of course signal based and it just uses score
to pick up best trades. Score in your case has no impact on timing.
>So, the
> buy/sell times DO depend on signals, not ranking.
Exactly. This is regular mode.
>Ranking is just a
> secondary but important part of market timing signal-based type of systems.
No, ranking in regular mode is not part of market timing. Ranking in regular mode is just the way to pick
best trades. In regular mode TIMING is governed only by signals.
Ranking in regular mode is just a secondary "flavour" that allows you to
pick the best trades, it does NOT affect the timing (i.e. WHEN you enter and WHEN you exit the trade).
Ranking in regular mode just qualifies potential trade candidate to be counted in or not.
If there are too many candidates some may be just ommitted (because of small rank).
But no matter if rank is high or low it does not move entry/exit dates.
Best regards,
Tomasz Janeczko
amibroker.com
> ----- Original Message -----
> From: "Tomasz Janeczko" <amibroker@xxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Sunday, June 20, 2004 8:06 PM
> Subject: [amibroker] Choosing the right mode
>
>
> > Hello,
> >
> > I have seen on several occassions sometimes funny attempts to code system
> in wrong mode.
> > It just adds unnecessary problems therefore choosing the right mode
> (regular vs rotational) is important.
> > It is easy to.
> >
> > When you describe your system using words like "buy WHEN something
> happens, sell WHEN some other thing happens"
> > it means that your system is signal-based (i.e. buys/sells are based on
> signals occuring on condition that happens
> > in certain points of time) and you should use regular mode.
> >
> > When, on the other hand, you describe your system using words "buy (sell)
> TOP/BOTTOM N-stocks"
> > then your system is rotational (i.e. based on some kind of ranking,
> buying/selling securities as they change their relative
> > rank to each other - buy/sell times do NOT depend on time but on ranking)
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
>
>
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>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> Yahoo! Groups Links
>
>
>
>
>
>
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