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Would it be something like:
#include <TJ's functions of message nr. 2275)// Your AddScaleIn, etc.
.... (see Ed's code, message 78740)
for (openpos = bo.GetFirstOpenPos(); ...)
//Add Required rel weight
if (openpos.IsOpen AND..)
{
cntLonOpen = cntLongOpen + 1;
CurrRelWeight = openpos.GetPositionValue/bo.Equity;
... same for shorts
ReqRelW = 5;
for (sig = boGetFirstSignal(i); ...etc.)
{
if (sig.IsEntry() AND sig.IsLong())
{
if (cntLongOpen >= maxLong) sig.PosSize=0;
else
{
if (CurRelWeight>ReqRelW0) AddScaleOut(i,3,CurRelWeight/MaxRelW,C);
else if (CurRelWeight<MReqRelW0) AddScaleIn
(i,3,CurRelWeight/MaxRelW,C);
}
cntLongOpen=cntLongOpen +1;
}
... same for shorts
Am I on the right track here?
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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