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[amibroker] Re: Conceptual Approach to Rotation Trading Across Watchlists



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Ok - I added this line to my formula and I get a strange result:

AddToComposite( Equity(), "~System1EquityCurve", "X",
atcFlagEnableInBacktest = 8); 

What I get is kinda weird - I get a curve which is in the millions -
whereas the equity curve is in the thousands (like $100k).  Am I using
this correctly?

--- In amibroker@xxxxxxxxxxxxxxx, "Ron Rowland" <rowland@xxx> wrote:
>
> To create the psuedo tickers, i just run the AddToComposite function 
> against the Equity() line generated in the backtest.
> 
> I also do one more step (that is optional) and that is to run Bruce 
> Robinson's FT-Write FNU AFL to export and save the resulting ticker 
> in my FastTrack database.  
> 
> Yes, the summary system could be as easy as buying 20% of all five 
> and then not having any sell rules.  However, I tend to look at long 
> back-test history and so I include provisions for quarterly  or 
> annual rebalancing.  I also allow for variable percentages in case I 
> determine that equal-weighting is not optimal.
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@> wrote:
> >
> > 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@> 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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