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//PSO: Fitness: CAR
//PSO: SaveCancelled: Y
// Funds
fund1 = "";
fund2 = "";
fund3 = "";
fund4 = "";
fund5 = "";
SetTradeDelays( 1, 1, 1, 1 );
SetFormulaName("Asset Allocation Mix 1.3");
SetOption( "InitialEquity", 100000 );
SetOption( "AllowSameBarExit", True );
SetOption( "ActivateStopsImmediately", False );
SetOption( "AllowPositionShrinking", True );
SetOption( "FuturesMode", False );
SetOption( "InterestRate", 0 );
SetOption( "MaxOpenPositions", 6 );
SetOption( "WorstRankHeld", 6 );
SetOption( "MinShares", .0001 );
SetOption( "PriceBoundChecking", True );
SetOption( "MarginRequirement", 100 );
SetOption( "ReverseSignalForcesExit", True );
SetOption( "UsePrevBarEquityForPosSizing", False );
fund1wt = Optimize("fund1wt", 55, 10, 100, 1);
fund2wt = Optimize("fund2wt", 55, 10, 100, 1);
fund3wt = Optimize("fund3wt", 55, 10, 100, 1);
fund4wt = Optimize("fund4wt", 55, 10, 100, 1);
fund5wt = Optimize("fund5wt", 55, 10, 100, 1);
PositionSize = (Name()=="")*-fund1wt + (Name()=="")*-fund2wt +
(Name()=="")*-fund3wt + (Name()=="")*-fund4wt + (Name()=="")*-fund5wt;
----- Original Message -----
From: "Fred" <ftonetti@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, October 16, 2005 8:58 PM
Subject: [amibroker] Re: Variable position sizeing?
> You can't do any flavor of optimization w/o optimization statements.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Erik Skyba" <eskyba@xxxx> wrote:
> >
> > If I have 3 funds reprehensive of different asset classes. How
> do I run a PSO optimization finding the best percentage allocation
> for each fund. There is no buy or sell action. I need a minimum
> allocation of 10% in each asset class. I want to create the best
> allocation mix with the PSO optimization finding the best allocation.
> How do I get the position sizing to change as the optimization runs?
> >
> > I was working with this piece of code:
> >
> > PositionSize= (Name()=="fund1")*-optiA + (Name()=="fund2")
> > *-optiB + (Name()=="fund3")*-optiC;
> >
> >
> > Thanks,
> >
> > Erik SKyba
> >
>
>
>
>
>
>
>
> 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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