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Hello Ang_60,
> after a while ( Brian) went 100% out of subject..... mostly >talking about the maths of portfolio optimization.... and not about >finding a practical way to do it in Amibroker)
I am biased towards a mathematical solution.
Why?
Quoting Howard, who was speaking about the approach needed to model portfolios (refer below) .... and then considering that we could avoid all of the long optimization runs by the relatively lightning fast maths approach.
"........the choice will be between multistage development and single stage development.
The multistage approach assumes that the best individual A, B, and C create the best portfolio P. This approach has each of A, B, and C being developed,tested, and validated separately. The output of these systems is again "shadow" output, since it must be processed by the portfolio logic. Again, temporary files will be necessary and only the shadow output's out-of-sample results can be used for the portfolio development. The messiness and complexity of
portfolio construction has increased considerably over the equity curve example.
When we consider performing the entire portfolio development in a single pass, some other issues arise.
One is the curse of dimensionality -- the increase in the dimension of the search space for logic and parameters. If each of A, B, and C have four optimizable parameters, each with ten steps, an exhaustive search will create and evaluate 10,000 alternatives for each system. If P has two optimizable parameters, each with ten steps, an exhaustive search will create and evaluate 100 alternatives. The total is 30,100. At 1000 per minute, this takes 30minutes. If those same parameters are searched in the all-in-one logic, which
now has fourteen parameters, an exhaustive search will create and evaluate 10 to the 14th power alternatives. At 1000 per minute, this takes about 200,000 years. AmiBroker's non-exhaustive search will help, but this will still be a long run."
So, I am lookong forward to Howard's solution.
At the same time, I am putting my bias aside, and recognizing the practical value of lab-testing comparitive position size models, as per David's example use of MSA and also other models/methodd that anyone cars to put up.
I am working on solutions in private and that is why I asked David some specific questions ... so that I can get some feedback on what others are actually doing and how they are doing it, then I can feed that into my designs, if relevant.
Re my practical contributions on this subject:
- I posted a discussion piece on the need to isolate our system returns (trade series as %) from Money Management i.e. to do this outside of AB's Backtester ... then to save the trade series, symbol by symbol and finally to run comparitive analyses over the TradeMatrix (this suggestion is still on the books but I thought that it would only ever be put to use by individuals, in private, if at all).
However David is actually doing that, in a way that he is happy with.
> "it is possible to do in Amibroker, but the valuation of the >proper/simpler way to get the job done... and of the time and the >skills required ..... is leaved 100% to the user"
> Be sure to value them properly.
Very poetic!
You seem to have some secret superior method that the rest of us are totally unaware of ... please enlighten us.
If 'we' are going to head towards a delivered solution please state clearly how you think we should do that (keep in mind that I am quite happy to defer to Howard as the AB benchmark and that, as yet, I haven't studied Pauls code ....perhaps there will be no need for further effort based on what they have already offered, or, in Howard's case will offer).
--- In amibroker@xxxxxxxxxxxxxxx, "ang_60" <ima_cons@xxx> wrote:
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Soham" <sohamdas@> wrote:
> >
> >
> > Is there any method, to simulate multiple strategy on a portfolio level?For example, consider I want to use a trend following system for Cotton, Coffee, Copper, EuroDollars and FAZ. While, I want to "simultaneously" simulate a trend fading system for SPX,NDX and RYDER.
> >
> > Is there any way to do it?
> >
> > Thanks, for any light on this
> > Soham
> >
>
>
> Hi Soham,
>
> just in case you won't to read all the thread posted by Brian (in my humble opinion, that thread was very interesting at the beginning.... but after a while we went 100% out of subject..... mostly talking about the maths of portfolio optimization.... and not about finding a practical way to do it in Amibroker), here you'll find the code posted by Paul Ho
>
> http://www.amibroker.com/library/detail.php?id=1227
>
>
> This subject arose from time to time both on the yahoo list and on the feedback/suggestion center but - as of today - my undestading of the various answer I received is:
>
> "it is possible to do in Amibroker, but the valuation of the proper/simpler way to get the job done... and of the time and the skills required ..... is leaved 100% to the user"
>
> Be sure to value them properly.
>
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