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I think you are right. I also think the fix is right...allow position
size shrinking. You could also check "allow fractional shares" if you
really want an exact split.
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of billbarack
Sent: Wednesday, February 01, 2006 10:53
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Portfolio trading
Terry,
Thanks for continuing to help me find my way through this. I did use
a watchlist.
I think I have found the problem and why checking "allow position
size shrinking" fixes it. Here is my "guess":
Assume 2 positions, 50% in each . When buy #1 is made, the program
calculates the number of shares and then multiples shares times
todays price. This number sometimes multiplies out to be slightly
greater than 50% of the equity (by pennies). Then when it tries to
buy #2, there is not enough equity (there is less than the 50%) so
it skips the second buy. This is why checking "allow position
sizing" allows you to buy #2.
It all has to do with rounding error.
I have checked my detailed log on the trades and the numbers seem to
confirm the above speculation. When the Shares times Price for buy
#1 is slightly less than 50% of the total equity, then Buy #2
occurs. When the Shares times Price for buy #1 are slightly greater
than 50% of the total equity, then buy #2 doesn't occur. That's
why "allow position size shrinking" fixes the problem. It allows buy
#2 to occur at slightly less than 50% of the total equity.
This should be fixable in code by allowing some band of error for
the last buy in a series of buys. Or by allowing the mistake to be
in the number of shares (out there beyond the decimal point), not in
the equity used to buy those shares.
I have sent my speculations on to Marcin and am awaiting his reply.
Thanks,
Bill
--- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxxx> wrote:
>
> One more thought...you either must select "all symbols" or use a
> Watchlist containing the symbols you want to trade.
>
> --
> Terry
>
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On
> Behalf Of emp62
> Sent: Wednesday, February 01, 2006 02:05
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Portfolio trading
>
> 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.
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