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> The main problem is not technical but "human" .
If you do decide to implement one day surely an empirical model will overule subjective opinion.
The Markowitz/Vince model is the only mathematical method I know of to construct portfolios with system diversification.
Are there any others?
> I guess that everyone
> that would be interested, would like to have rebalancing >implemented differently.
Sadly I am pessimistic that the best method will be palatable to the majority.
Still ... FTR
- theoretically 'no-one' trades at optimal f ... those ignorant about f may stray to the right while those in the know go left.
- while 'rebalancing' frequently is best commissions etc mean that this can not be achieved
- since perfect rebalancing is impossible to achieve the practical compromise is to rebalance less .... taking the correct stake (rebalancing) at entry is the practical solution to keeping left of opt f and maximising returns, as far as practicable.
No doubt, however, that the majority will want to test this theory for themselves i.e. they will want to set commissions/slippage and frequency of rebalancing to obtain reports on all 'what if' scenarios.
Heaven help us if public opinion ever converges on the logical solution ... a matrix BT.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Hello,
>
> The main problem is not technical but "human" - i.e. I guess that everyone
> that would be interested, would like to have rebalancing implemented differently.
> The devil is always in the details.
>
> So, let us discuss *your* preference. Let assume the following:
>
> a) we have 2 systems, and initially system A gets 60% of initial equity
> and system B gets 40% of initial equity
>
> b) system A is making trade every 2 days and is losing on average 1%
> per trade
>
> c) system B is making trade every 3 days and is gaining on average 2%
> per trade
>
> Now, the rebalancing, the way you like it:
>
> a) would it only occur when trade is closed or would it shrink/grow existing positions
> everyday to maintain initial balance between systems ?
>
> b) if rebalancing occurs only when trade is closed, how would money
> be divided ? Just spread the cash to maintain 60/40% balance in cash? (this will
> inevitably lead to inbalance in equity) or to maintain 60/40% in equity (cash+positions)?
>
> If latter is the case, what to do if already open position value is greater than target ?
> Scale out ? Or allow inbalances till positions are closed ?
>
> These questions barely scratch the surface.
>
> As always things are much more complicated once you start thinking
> how to do that in practice.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "bh.hicks" <bh.hicks@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, May 06, 2009 1:46 AM
> Subject: [amibroker] Re: testing multiple systems simultaneously
>
>
> > Tomasz,
> > Thanks for the suggestion. That is the "old-school" way I have been doing it in excel but may of the drawbacks to that approach
> > were discussed here...
> >
> > http://finance.groups.yahoo.com/group/amibroker/message/137869
> >
> > The basic flaw is that the equity pools are never rebalanced so if one system performs better than the other, the stronger system
> > eventually dilutes the impact of the weaker one to the point where it basically has no effect.
> >
> > The real goal is to test multiple systems on the same equity pool so a higher percentage of available capital is deployed through
> > diversified systems.
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@> wrote:
> >>
> >> To examine how multiple systems running concurrently affects drawdowns, you
> >> can run your systems sequentially, save portfolio equity as explained in the Knowledge Base
> >> http://www.amibroker.com/kb/2006/03/11/how-to-create-copy-of-portfolio-equity/
> >> automatically as a composite
> >> and later SUM equity curves afterwards and you will see resulting combined equity curve
> >> and see the drawdown of such multiple -system setup.
> >>
> >>
> >> Best regards,
> >> Tomasz Janeczko
> >> amibroker.com
> >> ----- Original Message -----
> >> From: "ang_60" <ima_cons@>
> >> To: <amibroker@xxxxxxxxxxxxxxx>
> >> Sent: Tuesday, May 05, 2009 11:04 AM
> >> Subject: [amibroker] Re: testing multiple systems simultaneously
> >>
> >>
> >> > --- In amibroker@xxxxxxxxxxxxxxx, "bh.hicks" <bh.hicks@> wrote:
> >> >>
> >> >> I am basically looking for a way to have AmiBroker run multiple systems concurrently in order to examine how trading multiple
> >> >> non-correlated strategies affect drawdowns.
> >> >
> >> >
> >> > As you are migrating from another software I happen to know a bit, the short answer: as of today, Amibroker is not capable of
> >> > "built in multiple systems testing" as TraderStudio's trading plan approach.
> >> >
> >> > This matter was raised long ago by myself and others: if you are a registered user, you can check suggestion #406 in the
> >> > feedback
> >> > center, dated 16 August 2006.
> >> >
> >> > In this list you can find very good programmers, claiming they are able to get the multisystem/multimarket approach to work
> >> > programming it by scratch, but - to my knowledge - I've never seen a public (that is.... free) code able to do what I think is
> >> > needed (and that's includes the two links provided in this discussion).
> >> >
> >> > Just for clarity, this doesn't want to sound as a critic: I own TraderStudio too, but by now the software I most use for
> >> > testing
> >> > is - by far - Amibroker.
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >> > ------------------------------------
> >> >
> >> > **** IMPORTANT PLEASE READ ****
> >> > This group is for the discussion between users only.
> >> > This is *NOT* technical support channel.
> >> >
> >> > TO GET TECHNICAL SUPPORT send an e-mail directly to
> >> > SUPPORT {at} amibroker.com
> >> >
> >> > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> >> > http://www.amibroker.com/feedback/
> >> > (submissions sent via other channels won't be considered)
> >> >
> >> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> >> > http://www.amibroker.com/devlog/
> >> >
> >> > Yahoo! Groups Links
> >> >
> >> >
> >> >
> >>
> >
> >
> >
> >
> > ------------------------------------
> >
> > **** IMPORTANT PLEASE READ ****
> > This group is for the discussion between users only.
> > This is *NOT* technical support channel.
> >
> > TO GET TECHNICAL SUPPORT send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> > http://www.amibroker.com/feedback/
> > (submissions sent via other channels won't be considered)
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > Yahoo! Groups Links
> >
> >
> >
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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