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<SPAN
class=721574813-25062004>Hi Buzz, don't have the time to got through the details
of your first question, but here's a quote from Tomasz on how trades to take are
chosen, from msg 48932, 10/1/03:
<SPAN
class=721574813-25062004>
<SPAN
class=721574813-25062004><SPAN
class=721574813-25062004>-----
<SPAN
class=721574813-25062004>
<SPAN
class=721574813-25062004>The rules for selecting candidates for trading
ifthere are more signals than can be traded (becauseof limited funds or
limited 'number of open positions') are:
<SPAN
class=721574813-25062004>- absolute value of score (positionscore variable -
ranking mode only)- dollar position size- alphabetic order- order
type (longs take precedence over short)
<SPAN
class=721574813-25062004>
<SPAN
class=721574813-25062004>-----
<SPAN
class=721574813-25062004>
<SPAN
class=721574813-25062004>Note that this was written before regular trading mode
was able to use PositionScore, so the bit saying that it's relevant only in
rankng mode is no longer true.
<SPAN
class=721574813-25062004>
<SPAN
class=721574813-25062004>(Also, I don't see how more than one security can have
the same alphabetic value, since that'd mean, I think, having the same ticker.
Shouldn't matter much though in practice.)
<SPAN
class=721574813-25062004>
<SPAN
class=721574813-25062004>HTH,
<SPAN
class=721574813-25062004>
<SPAN
class=721574813-25062004>Dave Merrill
<BLOCKQUOTE
>Tomasz,It
seems that my post requesting clarification of the following has possibly
not been received, so I'm resubmitting. Please re-check the 'Phase
2' chart --- I think there is an error. Please also note that I
posed an additional clarification question following this
paragraph:1) In the 'Phase 2' chart, why was the AMGN
'Buy(2)' trade skipped incolumn 10 when only LVLT was entered at column 10
and there were NOOTHER 'OPEN' or (higher-priority) 'entered' trades in
that column?Shouldn't AMGN be entered (and 'opened') at that time? If so,
thatwould have caused the MSFT trade entered in column 12 to be
skipped,and likewise, the CSCO trade entry in column 14 would also have
beenskipped. Have I misinterpreted something here, or is there an
errorin the chart?2) Also, how are EQUAL position-score
'ties' resolved, and what is actually done, when additional
'open-position' slots remain to 'fill' the 'MaxOpenPosition' limit ..AND..
the NUMBER of potential candidates (each having an EQUAL position score
that qualifies to 'fill' a remaining 'slot') EXCEEDS the remaining number
of slots to be filled? For example, using my commentary in the
preceding paragraph #1), say in column 10, assume there were another stock
(say, XYZ) in addition to AMGN that had a position score of 2 (i.e.,
'Buy (2)'). LVLT clearly gets 'bought' to fill the first slot, but
which of the set (of EQUAL position scores): {AMGN,XYZ} would be 'bought'
to fill the remaining second 'open position' slot available to reach
'MaxOpenPositions' in this case? How does the AB logic 'resolve'
these kinds of competing 'ties' in the the backtester?Thanks for your
assistance on these issues .....Buzz
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