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Hello,
Yes ,got your point, guess i will have to do a lot of homework on
this ,the procedure not being very tangible .I was wondering whether
there was any automatic procedure for this using certain parameter
metrics to make them better like we have the amibroker scan function,or
the optimise etc etc (i am aware about the incorporated ratios) and we
know what the parameters show and so know the state of our system .I
have done the equity line but that shows past state and current state
but here a sudden fall in the value of a few scripts could totally skew
the equity line so i was wondering if there were any other parameters i
can use to show that my portfolio is still maintained in a healthy
state?
Thanks for the input.
N !!
--- Fred <ftonetti@xxxxxxxxxxxxx> wrote:
>
> Natasha,
>
> There are probably more answers to questions like that then there
> are people willing to give answers to the question.
>
> In terms of looking at Equity Curves per se it really doesn't matter
> if we are talking about single issues or portfolios of issues. The
> ~~~Equity symbol will show the curve for either assuming that one
> did a portfolio backtest ( now the default ) and the principles for
> examining the related perfomance metrics for either are the same.
>
> I know the above isn't really an answer to what you are asking but I
> think the best I can suggest is to decide what your goals are and
> how you are going to objectively measure how well or not a system is
> perfomring and work backwards from there.
>
> --- 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 !!
> <dynomitedoll_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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> >
> >
> >
> >
> > 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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> >
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> >
> >
> >
> >
> >
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> >
> >
> >
> > Warm regards,
> > Natasha !
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > __________________________________________________
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>
>
>
Warm regards,
Natasha !
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