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Hi Natasha,
Since you asked about optimal asset allocation, you should learn about
the concept of the efficient frontier in case you don't already know
about it.
Start by looking here:
http://www.riskglossary.com/articles/efficient_frontier.htm
Basically, the idea is to pick an optimal mix of investments in a
portfolio for a given level of risk.
Cheers,
Steve
--- In amibroker@xxxxxxxxxxxxxxx, Natasha !! <dynomitedoll_ddd@xxxx>
wrote:
> Hello again ,
>
> I know its not exactly a cut and dried process and not very
easy but any reference to any book or to some website where some info
is available? or how are u going about it .I am basically interested
in asset allocation optimally.
>
> Thanks
>
> N !!
>
> Natasha !! <dynomitedoll_ddd@xxxx> wrote:
> hello,
> My basic problem is that i have gone past the indicator
building part and i thought it was the tough part , and reached a
point where i have to build a portfolio and manage it.Basically i have
reached a stage where i now have to develop a system to build and
maintain a portfolio and i really haven't a clue how to go about
it.I mean i can build and optimise a system to my comfort and it can
give me signals when to enter/exit .I can scan and it gives me various
signals that are bulllish bearish and sideways but that is going slam
bam i mean its not really methodical investing , they are just trade
signals for the various stocks.Nothing to do with position size and
asset allocation,cash position , how much to invest ,how much cash to
have aside etc etc I thought maybe one used the various
ratios but how to use them ? May be a chart or something to
illustrate .Your mail was basically before the advanced modifications
but i was wondering whether there was some
> chart or graph to go about developing or to illustrate the state
of the portfolio's health .
>
> --- N !!
>
> Fred <ftonetti@xxxx> wrote:
>
> N,
>
> I'm not sure what you are wanting charts of ... However, you can
> make your own using the equity indicator I pointed at earlier.
>
> --- In amibroker@xxxxxxxxxxxxxxx, Natasha !! <dy
nomitedoll_ddd@xxxx>
> wrote:
> > hello Fred ,
> >
> > With Reference to message 42537 :
> > *******************************************
> > 42537
> > From: Fred Tonetti <fctonetti@>
> > Date: Sun Jun 15, 2003 11:13am
> > Subject: Re: Equity Line fctonetti
> > Offline Offline
> > Send Email Send Email
> >
> > Keith,
> >
> > K-Ratio is a measurement of the straightness of the equity curve
> or how
> > well the equity curve fits its own linear regression if you will.
> For
> > compounding systems the measurement would be the straightness on
a
> log
> > scale. (See Attached)
> >
> > UI = Ulcer Index. A measurement of downside volatility. The
smaller
> > this value is, the less investment ulcers one will have. It is the
> > square root of the average of the squared retracements. One may
> think
> > of it as the bottom half of the standard deviation. It does not
> > penalize for upward volatility as does the standard deviation.
> >
> > UPI = Ulcer performance Index. The greater this number the
greater
> the
> > reward per unit of downside risk. It is calculated by subtracting
> 5.4%
> > from the annualized return to bring that return to the amount
above
> > risk free Treasury Notes over along period of time. The resultant
> is
> > then divided by the Ulcer Index.
> >
> > I also attached two charts of systems that I trade, the first of
> which
> > makes infrequent trades and therefore by its nature must suffer
> more of
> > the ups and downs then the second which is a frequent trader.
> >
> > Fred
> > *********************************
> >
> > Please attach any charts to illustrate the above in your
> message
> > .It would be a help .I am also at this stage and getting little
> bogged
> > down .Thanks.
> >
> > --- N !!
> >
> >
> >
> > --- Fred <ftonetti@xxxx> wrote:
> > >
> > > Substitute whatever you want for Equity.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "steve_almond" <steve2@xxxx>
> wrote:
> > > >
> > > > Fred,
> > > >
> > > > I had already tracked down your formula for KRatio, but it
> > > > requires "Equity" to work (as in a backtest). I was hoping
for
> > > > something which could calculate K-Ratio from price data. Am I
> > > asking
> > > > the impossible?
> > > >
> > > > Steve
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx>
wrote:
> > > > >
> > > > > I think I posted an article some time back regarding the
> formula
> > > > for
> > > > > KRatio and you could probably find something related on the
> web.
> > >
> > > > > However the older, seeming incorrect ( although I like it
> > > better )
> > > > > version of the formula can be found inside either of the
> > > > > portfolio.afl's in IO.zip in the files section as it's one
> of the
> > >
> > > > > statistics that I show in the title of the equity curve I
> like to
> > >
> > > > > use. The number will NOT match what comes out of AB's
> statistics
> > >
> > > > as
> > > > > that has the newer version in it. However it wouldn't be
> > > > difficult to
> > > > > modify the calc to the newer version as it's only a
slightly
> > > > different
> > > > > from the original formula.
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "steve_almond"
> <steve2@xxxx>
> > > > wrote:
> > > > > >
> > > > > > I know the backtest report includes the (new) K-Ratio.
> > > > > > Is it possible to calculate the K-Ratio and add it to an
> > > > Amibroker
> > > > > > Exploration AFL? I'm thinking to try and use it as a
> measure
> > > > > > of "Quality of Return" for comparing stocks over the past
> year
> > > > (for
> > > > > > example). I'm trying to identify stocks which have a
> > > consistent,
> > > > > > rather than extremely high, return.
> > > > > >
> > > > > > Any help with the formula would be much appreciated.
> > > > > >
> > > > > > Steve
> > >
> > >
> > >
> > >
> >
> > Warm regards,
> > Natasha !
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > __________________________________________________
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> > Tired of spam? Yahoo! Mail has the best spam protection around
> > http://mail.yahoo.com
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
>
>
>
> Warm regards,
> Natasha !
>
>
>
>
>
>
>
>
>
>
> __________________________________________________
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> To get support from AmiBroker please send an e-mail directly to
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>
>
> Warm regards,
> Natasha !
>
>
>
>
>
>
>
>
>
>
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