|
PureBytes Links
Trading Reference Links
|
Thanks for the thoughts - I'm not quite sure how to implement it in position sizing. Here's the current code:
PositionSize = -2 * BuyPrice/(1.5 * ATR(7);
I've traded it for this:
MyBeta = (StDev(C,7)*Correlation(C,Foreign("SPY","C"),7))/StDev(Foreign("SPY","C"),7);
PositionSize = -2 * BuyPrice/MyBeta;
But what I'm getting is a single large position size - kind of the opposite of what I want. Thoughts appreciated.
--- In amibroker@xxxxxxxxxxxxxxx, "mbausys" <mbausys@xxx> wrote:
>
> You can compute individual stock betas in AB using the following formula:
> beta = stdev(stock)*correlation(with market)/stdev(market)
> Then you can adjust your positions sizes according to the betas just like you do that with ATR.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@> wrote:
> >
> > Hey all -
> >
> > I've got a system which is designed to be market neutral on a group of ETFs, but one issue that I've run into is you obviously need alignment in terms of the volatility of the instruments. If you are long EEM and short SHY, you're not going to have much balance.
> >
> > Now this can obviously be done with position sizing, sizing based on ATR to create larger positions in SHY and a smaller position in EEM, but I was wondering if anyone had tried to align the beta of different funds. So you generate a list of trades and then filter them in some way to create a list that is balanced in terms of volatility.
> >
> > Any thoughts appreciated.
>
------------------------------------
**** 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:
amibroker-digest@xxxxxxxxxxxxxxx
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/
|