|
PureBytes Links
Trading Reference Links
|
yes that's what I also was thinking of but forgot to mention. I always use
position size shrinking. I think this way Amibroker allows to take a
position which somewhat deviates from 50%. If I understand it well the
value per "share (?)" for VLE-I, OTC-C is high. Sometimes it can't fit in 5
and has to downsize to 4. But apparently 4 is below some threshold Amibroker
uses. It will only allow to enter a position of 4 if you also set "position
size shrinking",
rgds, Ed
----- Original Message -----
From: "billbarack" <wbarack@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, February 01, 2006 2:22 PM
Subject: [amibroker] Re: Portfolio trading
> 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
>> >
>> >
>> >
>> >
>> >
>> >
>>
>
>
>
>
>
>
>
> 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
>
>
>
>
>
>
>
------------------------ Yahoo! Groups Sponsor --------------------~-->
Try Online Currency Trading with GFT. Free 50K Demo. Trade
24 Hours. Commission-Free.
http://us.click.yahoo.com/RvFikB/9M2KAA/U1CZAA/GHeqlB/TM
--------------------------------------------------------------------~->
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|