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Hello ,
Nice website .Found some more good articles that helped quite
a bit .
Thanks.
---- N !!
--- _sdavis <_sdavis@xxxxxxxxx> wrote:
>
> 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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> >
> >
> >
> >
> >
> > 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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