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Ed,
What you say is true. However, in this case, the position size was 2
and the detailed report showed enough cash to buy shares in the 2nd
position. That is why I am confused.
Bill
--- In amibroker@xxxxxxxxxxxxxxx, "emp62" <emp62@xxxx> wrote:
>
> 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@xxxx>
> 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
> >
> >
> >
> >
> >
> >
> >
>
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