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Thanks Ed.
The buy signal is set using a Foreign fund behavior. Therefore, when
the signal says buy, the backtesting should not be dependant upon
individual fund behavior, i.e., it should buy two positions.
Marcin responded to me via email. He suggested looking at "Allow
position size shrinking" in the Settings box. I did not have it
checked. When I did, the problem went away. However, since I used
PositionSize = -100/posqty, which says invest 50% in each fund in
this case, you wouldn't think this would make a difference.
I am awaiting his reply on this point and will let you know his
response.
Thanks,
Bill
--- In amibroker@xxxxxxxxxxxxxxx, "emp62" <emp62@xxxx> wrote:
>
> your settings allow two simultaneous positions. But this does not
mean you
> will always have two positions at the same time because it also
depends on
> the buy and sell signals. If you have one position and there is
not another
> buy occuring during the first few bars then the system will only
hold one
> position until it encounters another buy signal and it will add
another
> position.
>
> This is the only thing I can think of,
>
> rgds, Ed
>
>
>
> ----- Original Message -----
> From: "billbarack" <wbarack@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, February 01, 2006 1:45 PM
> Subject: [amibroker] Re: Portfolio trading
>
>
> >I tried to stay close to the example code in the documentation.
And
> > leaving everything else at default. As a further explaination of
the
> > issues I am having, here is the relevant portion of the code. Are
> > there any suggestions as to what I might be missing????
> >
> > Buy = CondBuy1;
> > Sell = CondSell1;
> > //EnableRotationalTrading();
> > SetOption("InitialEquity",20000);
> > posqty = 2;
> > SetOption("MaxOpenPositions",posqty);
> > PositionSize = -100/posqty;
> > //SetOption("WorstRankHeld",20);
> > PositionScore = ROC(Close,15);
> >
> > Min shares = 0.1
> >
> > The summary report sometimes shows buying 2 positions, but
sometimes
> > only 1. For example on 3/18/02, where it buys only VLE-I. This
stays
> > true even when I make the Initial Equity 200,000.
> >
> > Ticker Trade Date Price Ex. date Ex. Price % chg
> > Profit % Profit Shares Position value Cum. Profit
> > # bars Profit/bar MAE MFE Scale In/Out
> > DFSCX Long (127) 1/29/2001 7.77708 3/15/2001
> > 7.01799 -9.76% -976.06 -9.76% 1285.83 10000.00 -
> > 976.06 33 -29.58 -9.76% 1.10% 0/0
> > OTC-C Long (127) 1/29/2001 2838.34 3/15/2001
> > 1940.71 -31.63% -3162.52 -31.63% 3.52319 10000.00
> > -4138.58 33 -95.83 -32.24% 0.00% 0/0
> > OTC-C Long (127) 5/3/2001 2146.2 7/12/2001
> > 2075.74 -3.28% -260.37 -3.28% 3.69523 7930.71 -4398.94
> > 49 -5.31 -8.55% 7.81% 0/0
> > JAVLX Long (127) 5/3/2001 46.3361 7/12/2001
> > 41.1193 -11.26% -892.89 -11.26% 171.156 7930.71 -5291.84
> > 49 -18.22 -13.07% 5.52% 0/0
> > OTC-C Long (127) 10/24/2001 1731.54 2/7/2002
> > 1782.11 2.92% 214.78 2.92% 4.24713 7354.08 -5077.06
> > 73 2.94 -3.70% 18.93% 0/0
> > VLE-I Long (127) 10/24/2001 1086.89 2/7/2002
> > 1171.11 7.75% 569.85 7.75% 6.76617 7354.08 -4507.21
> > 73 7.81 -1.77% 17.66% 0/0
> > ***************Here is 3/18/02******************
> > VLE-I Long (127) 3/18/2002 1307.89 5/20/2002
> > 1285.71 -1.70% -131.37 -1.70% 5.92282 7746.39 -4638.58
> > 45 -2.92 -4.44% 1.77% 0/0
> > **************************************************
> > OTC-C Long (127) 9/17/2002 1259.94 9/18/2002
> > 1252.13 -0.62% -47.61 -0.62% 6.09609 7680.71 -4686.19
> > 2 -23.81 -0.62% 0.00% 0/0
> > OTC-C Long (127) 10/22/2002 1292.8 1/28/2003
> > 1342.18 3.82% 292.46 3.82% 5.92273 7656.90 -4393.73
> > 67 4.37 0.00% 15.09% 0/0
> > FDGFX Long (127) 4/7/2003 21.1921 8/11/2003
> > 23.6167 11.44% 892.79 11.44% 368.21 7803.14 -3500.93
> > 88 10.15 -1.58% 16.40% 0/0
> > TWCUX Long (127) 4/7/2003 21.695 8/11/2003
> > 23.9724 10.50% 819.11 10.50% 359.674 7803.14 -2681.82
> > 88 9.31 -1.47% 14.04% 0/0
> >
> >
> > The detailed report shows enough cash on 3/18/02 ($7746.39) to
buy
> > the second ranked fund OTC-C where the price on 3/18/02 is 1877.
> >
> >
> > 3/15/2002
> > Entry signals(score):
> > Exit signals:
> > 0 Open Positions: , Equity: 15492.8, Cash: 15492.8
> > 3/18/2002
> > Entry signals(score):VLE-I=Buy(9.32135), OTC-C=Buy(8.33614),
> > 3GRW=Buy(7.47207), RISIX=Buy(7.38853),
> > Exit signals:
> > Enter Long, VLE-I, Price: 1307.89, Shares: 5.92282,
> > Commission: 0, Rank: 9.32135, Equity 15492.8, Margin Loan: 0, Fx
> > rate: 1
> > 1 Open Positions: , VLE-I (+5.92282), Equity: 15492.8, Cash:
> > 7746.39
> > 3/19/2002
> > Entry signals(score):
> > Exit signals:
> > 1 Open Positions: , VLE-I (+5.92282), Equity: 15526.1, Cash:
> >
> > I am stumped on this one.
> >
> > Thanks in advance for taking the time to review this and comment.
> >
> > Bill
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "emp62" <emp62@xxxx> wrote:
> >>
> >> assuming you have your settings right like Terry explains in
some
> > cases it
> >> will not take all positions you expect it will. For instance if
> > the amount
> >> of $$ you allocate to 1 stock is less than (min. Shares
setting) x
> > (Share
> >> Price). In this case it will not take a position in that stock
and
> > it will
> >> skip all other positions it had to take on that day if they are
> > lower in
> >> rank to this position. So if GOOG is on the top of the rank and
> > you expect
> >> your system to enter 10 stocks then you might have a problem if
> > Min. Shares
> >> is set to e.g. 200,
> >>
> >> Ed
> >>
> >>
> >>
> >> ----- Original Message -----
> >> From: "billbarack" <wbarack@xxxx>
> >> To: <amibroker@xxxxxxxxxxxxxxx>
> >> Sent: Tuesday, January 31, 2006 10:58 PM
> >> Subject: [amibroker] Portfolio trading
> >>
> >>
> >> >I am looking at the details of a simple portfolio trading
system
> > that
> >> > has posqty = 2. At times, when a buy is signaled, it only buys
> > one
> >> > fund and leaves the second position is cash. My Positions
score
> > os ROC
> >> > (Close,15).
> >> >
> >> > Any thoughts as to what may be happening? Why doesn't it buy
the
> >> > second position?
> >> >
> >> > Bill
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >> > 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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