|
PureBytes Links
Trading Reference Links
|
First of all I'd like to say this discussion is very interesting and a key point according to me.
Secondly I do believe the issue is much easier than what many are suggesting.
Multiple Systems testing should be considered with the same logic that Portfolio backtesting is using with underlying securities.
Therefore I believe a new AB feature would be required. This feature should ask the user which AFL systems combine and then the user can simply use standard Portfolio functions like:
-PositionSize (this would take care of Sizing each position and could be tied up to each single system)
-PositionScore (this would take care of multiple signals coming from different systems)
-MaxOpenPositions (to avoid having several open positions due to different systems giving a signal at the same time)
Furthermore I fully agree with ang_60 that when you use just "one equity pool", you don't assigne X% of capital to system A and Y% of capital to System B: so, there's no need to rebalance anything.
I cannot imagine anything easier than that and there wouldn't be any need to rebalance actually.
paolo
--- In amibroker@xxxxxxxxxxxxxxx, "ang_60" <ima_cons@xxx> wrote:
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@> 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
> >
>
>
> Hi everybody,
>
> maybe it's just me but I think this is a great discussion.
>
> Just some thoughts:
>
> 1) when you use just "one equity pool", you don't assigne X% of capital to system A and Y% of capital to System B: so, there's no need to rebalance anything.
>
> You start applying position sizing rules to your entire capital as soon as Sistem A, B, .... N gives you a signal.
>
> You need to rebalance only when you start dividing your trading capital from the N system which - I concur wuth Hicks - is a less efficient way to use your money (providing both your systems have positive expectation)
>
> 2) That's the very same reason you cannot simply add N equity curve to do portfolio testing.... because when mixing in one account (as in the real life) signal from system A and system B AND increasing trading size with the closed profits, it's mandatory to take into account the chronological order of the combined series of trades.
>
> 3) Hicks, I'm pretty sure Graham can do it (provided you don't want to run system A on database A and System B on database B.... ).... but if you are a bit like me (I'm not a programmer turned trader..... I'm an investor that thinks his daytime is better spent when I'm not programming.... ) maybe you will find his code a little complicated, would any further manipulation be needed from you.
>
------------------------------------
**** 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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|