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hi,
I won't be of much help with this. In my opinion the Portfolio Backtester
Interface is a nice feature of Amibroker but it is primarily useful to
retrieve information from a backtest already done. Maybe my understanding is
insufficient but it seems to me that this interface is not useful to create
a more sophisticated portfolio backtester. Since that would be too
complicated because you need to run your original "simple" portfolio
backtest and then adjust it to become a more sophisticated portfolio
backtest. This approach is just too complicated in my opinion.
I also would like to test a more complicated setups (like my redundant
signal problem I mentioned several times) but I think Amibroker needs to
have a separate Portfolio Backtester to be able to do this. This should be a
low level backtester like the current interface where one can for instance
feed it all the raw signals. Or where you can tell the backtester which buy
signal belongs to which sell signal.
Same with your problem. In my opinion the only way to do it is to adjust the
outcome of your basic system. For each bar you need to look at the positions
your system takes. Then if you for instance have 7 Long positions and 3
Short Positions you need to remove 2 of the long positions and add 2 short
positions. This you could do with the Interface. It just seems to me this is
a rather complicated way to build a system. Correct me if I'm wrong,
rgds, Ed
----- Original Message -----
From: "vlanschot" <ecbu@xxxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, August 02, 2005 10:32 AM
Subject: [amibroker] PositionSize for equal investments (ref. Msg 78740;
Ed/Herman)
> Morning,
>
> In message 78740 Ed and Herman "completed" their discussion on ways
> to limit the long-short positions via the low-level backtest
> functionality. A related message was 78732. (Feb/March 2005)
>
> I was wondering whether Herman's original question was ever answered:
> How can you maintain an equal investment in Longs/Shorts via the
> PositionScore/PositionSize.
>
> It seems to me that the way to do this is to use ScaleIn/-Out
> triggered at the signal-level in low-level backtester, but perhaps
> this can also be achieved via EnableRotationalTrading.
>
> In any case, I have been unable to program a fairly standard rule
> like:
>
> "Every month, buy the top 10% of stocks of WatchList1 and short the
> bottom 10%. Use equal/marketcap/x weights. Rebalance every month, not
> only the constituents of the top/bottom 10% BUT ALSO the actual
> weights."
>
> This means that even if a stock remains in the top 10%, I may have to
> sell part of the position because its weight has exceeded my limit.
> That limit, by the way, could be determined by an external time
> series, like relative mcap versus a benchmark.
>
> Any help appreciated (Ed/Herman?),
>
> Thanks,
>
> Patrick
>
>
>
>
>
> 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
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
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