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Ron:
Thanks for the suggestions. I will keep you informed as I move into the
experimental stage and see what questions that brings up.
It seems like loops within loops within loops will be needed. Timing could
then become a concern.
Thanks,
Ken
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Ron Rowland
Sent: Tuesday, May 13, 2008 2:46 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Conceptual Approach to Rotation Trading Across
Watchlists
Ken,
I am interested in something similar. What I am trying to achieve is to
"limit" the number of stocks/ETFs from a specific watchlist. I want to do
this in an attempt to control/ensure diversification.
For example, if I have a 5-position portfolio, I may want to limit the
Energy sector to a maximum of 2 holdings, Tech to a max of 3, Materials to a
max of 1, etc.
I have not implemented anything yet, but I am thinking something along the
lines of what you are thinking. My conceptual approach is to have a
watchlist that contains my entire universe (or in your case a watchlist that
contains all securities in your other 5 watchlists).
My thought was to rank the entire universe, then use InWatchList
(EnergyETFs) to keep track of % exposure to any particular sector. I am
assuming the CBT will be required and further assume that I cannot have
RotationalMode enabled and that the "rotational" logic will have to be build
into my AFL. I say this becuase I will also need access to current holdings
and what their respective sector exposures are also.
For your example that wants one holding from each of 5 watchlists, I would
probably use the following approach:
1) Clear new watchlist "FinalList"
2) Rank each of other 5 watchlists
3) Add top-ranked security from each of 5 watchlists to FinalList
4) Buy all securities in FinalList
Another approach for your specific example (this is the approach I use for
testing multi-strategy portfolios)
1) Create 5 systems - 1 for each watchlist
2) Run each system
3) Create psuedo tickers for the 5 equity curves
4) Create a 6th system that buys 20% of each of the 5 psuedo tickers
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <ken45140@xxx> wrote:
>
> This is a concept that I can not recall ever being discussed.
Perhaps it has
> been and I just missed it or did not recognize it.
>
> It is just a concept and I have been thinking about how to start,
and
> frankly, have few ideas. Admittedly, my skills with the custom
backtester
> are limited, and I am sure the approach lies somewhere within the
custom
> backtester.
>
> I would like to rank each of say 5 watchlists, each of which is
grouped by
> the type of security.
> I would like to sort/rank and specify buying say the top stock or
fund in
> each group.
> I would like to add this top ranked stock/fund to a portfolio.
> After a period of time, the five lists would be ranked again.
> If a new top stock/fund appears, the stock previously purchased
from this
> same watchlist would be sold and then new top ranked fund would be
bought.
> And so forth down the same 5 watchlists.
> And backtest it all.
>
> Might it be:
>
> Set up a loop and loop through 5 watchlists
> Within the loop, extract the symbols.
> Within another loop, rank the list of symbols against some
metric.
> Sort the list (perhaps using the recently published code by
FredT for
> getting ordinal values for members of a watchlist)
> Save the top symbol to a StaticVariable
> Complete the loop.
> Retrieve the symbols from the Variables
> Buy equal amounts
>
> Where I bog down: how to do another ranking pass say 1 month
later, and
> make buy and sell decisions based on new rankings?
>
> Again, as I said, this is just a concept. Has anyone done this and
can you
> comment on the general approach?
>
> Is this a useful concept to discuss?
>
> Thanks for any ideas.
>
> Ken
>
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