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Ron - interesting stuff. Like Ken I'm trying to do the same thing.
I'm curious about how you create the pseudo tickers for the individual
equity curves...can you detail this a bit more?
And I'm guessing the summary system just buys all the equity curves @
20% (for example) without a sell rule?
--- In amibroker@xxxxxxxxxxxxxxx, "Ron Rowland" <rowland@xxx> wrote:
>
> 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@> 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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