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thanks for your reply
----- Original Message -----
From: "Tomasz Janeczko" <amibroker@xxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, August 02, 2005 2:25 PM
Subject: Re: [amibroker] PositionSize for equal investments (ref. Msg 78740;
Ed/Herman)
> 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
>>
>>
>>
>>
>>
>>
>>
>
>
>
>
> 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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