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Thanks Tomasz,
If it is not too much to ask, could you perhaps provide some code on
how to achieve this, i.e. how to rebalance at each bar in order to
maintain an equal amount of, say 5%, for the MaxLong = 10, and
MaxShort = 10 positions?
Can I use, for example, using Ed's code
1) RelW = openpos.GetPositionvalue/bo.Equity; MaxW = 5;
2)the AddScaleIn/-Out functions of your message 2275 (AB-beta group),
and insert these in Ed's code below the part of . . .
for (sig = boGetFirstSignal(i); . . . )
. . .
if (RelW>MaxW) AddScaleOut(i,3,(RelW/MaxW-1),C)
. . . .
Would this work??
Thanks,
Patrick
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> 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@xxxx>
> 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@xxxx>
> > 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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