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Hello,
>Correct me if I'm wrong,
Yes you are wrong.
Portfolio backtester interface allows
to retrieve information after backtest but also allows to construct
more sophisticated backtest as well.
And I have shown in the past how such things should be done.
Example: low-level backtest implementing multiple positions on the same stock
without averaging:
http://finance.groups.yahoo.com/group/amibroker/message/80939
And yes it is possible to re-balance portfolio using custom backtester interface
(low level)
(you can check size of each open position and scale in/out accordingly)
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "emp62" <emp62@xxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, August 02, 2005 1:44 PM
Subject: Re: [amibroker] PositionSize for equal investments (ref. Msg 78740; Ed/Herman)
> 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
>>
>>
>>
>>
>>
>>
>
>
>
>
> 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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