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So basically I need to do:
Fraction = 1/NumberOfSymbols
SetPositionSize( Fraction, spsPercentOfEquity );
1) Would be above code acheive the intended result?
2) Is there a way to count the number of symbols in a watchlist?
3) Does the SetPositionSize function use the last bar equity or initial equity? (I do see there is a checkbox on the AA > Report tab, but I can't find the AFL version.)
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> If by aggregate result you mean that you want to see what would happen to total equity, win/loss ratios, etc. when taking all signals together, then I think that you have answered your own question.
>
> Given that gains and losses in the other stocks have a direct impact on what is available to apply to the current signal, I believe that you must employ some form of portfolio allocation.
>
> Taking it to the extreme, you need to know that you are bankrupt before considering the next signal. Similarly, even at $1 position size, if you generate more signals than you have cash, something has to give.
>
> If you just want to see how each symbol individually would perform, you can select "Individual Backtest" from the drop list of the Backtest button in the AA window.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "lucianomt" <lucianomt@> wrote:
> >
> > Thanks for the reply Mike.
> > I believe I have the strategy and watchlist part nailed down. I am actually looking for specific instructions on how to use the AA to test the strategy for all the symbols in the watchlist and getting an aggregate result. I am not looking to optimize returns by choosing between alternative positions (using positionscore, etc), rather an analysis that will trade all the signals in every stock.
> >
> > I guess I could set position size to 1/nth of equity (n = number of symbols in watchlist). But I was wondering if AA had a built-in feature that produced the same result without the need to set up a portfolio allocation logic.
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> > >
> > > Run it against a watch list. If your single stock is representative of its sector, you might try including other stocks in the same sector. Conversely, you might try offsetting it by including stocks with "opposite" behavior to counter the drawdowns (typically at the expense of reduced peaks also).
> > >
> > > Create your own watchlist, or use one provided by your data provider (e.g. components of the S&P 500, etc). Use portfolio backtester from AA window.
> > >
> > > Alternatively, if you don't want to maintain a watch list, add logic to only Buy if the symbol belongs to a chosen sector/industry/whatever, then run against all symbols.
> > >
> > > If you've managed to capture a generic pattern you could apply it to all stocks in the database in search of as many signals as possible.
> > >
> > > The combinations are endless, and 'best' is subjective.
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "lucianomt" <lucianomt@> wrote:
> > > >
> > > > I've developed a trading strategy and have tested/optimized it using one stock. What is the best way to test it with a list of stocks?
> > > >
> > > > I don't have a portfolio allocation logic, I just need the aggregate numbers for all the stock on the list.
> > > >
> > >
> >
>
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