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I think most of what you talk about is possible - some of it will be challenging, but I still think doable.
Running the system in real time will likely take the most work - would you want the system to interact with a broker to make the trades and then monitor the positions? That will be challenging.
--- In amibroker@xxxxxxxxxxxxxxx, "rmicalet" <rmicalet@xxx> wrote:
>
> I have a rotational trading system that gets creative in the position
> sizing. I was wondering if the following is possible in Amibroker:
>
>
> 1. Rank a (small) universe of stocks by a single factor
>
> 2. Select the top x% and bottom x% to go long and short, respectively
> 3. Weight the individual long and short positions inversely
> proportionally to their n-day volatility. For example, let's say the
> system wants to go long and short two stocks on each side. Let IVL1 be
> the n-day inverse volatility of long stock 1, IVL2, IVS1, and IVS2 be
> the n-day inverse volatilities of long stock 2, short stock 1, and short
> stock 2, respectively. Further, let WL1, WL2, WS1, and WS2 be the
> percent weights of long stocks 1 and 2 and short stocks 1 and 2,
> respectively. Then, the system wants WL1 = IVL1/(IVL1 + IVL2); WL2 =
> IVL2/(IVL1 + IVL2); WS1 = IVS1/(IVS1 + IVS2); WS2 = IVS2/(IVS1 + IVS2).
> 4. Then, as a further refinement, the system wants to beta-adjust the
> short positions relative to the long positions. That is, if the
> portfolio of long stocks (weighted according to their volatilities) have
> an m-day beta of B with the portfolio of short stocks (again, weighted
> according to their volatilities), the system wants to create a
> long/short portfolio that has B dollars short for every dollar long.
> 5. The system wants to buy on the close
> 6. The system will exit at the following day's open if the portfolio
> is up at the open, otherwise it will to hold until the following day's
> close, when it will repeat steps 1 through 5
> I'd like to both backtest the system (I've backtested it previously in
> Excel/VBA) and run it in real-time in Amibroker. I'd be grateful for any
> insight as to whether the weighting scheme (both the
> inverse-volatility-based weighting, and the beta adjustment) is doable
> in Amibroker, and if so, how complex a program I'd be looking at. The
> rest of the system seems relatively straightforward.
>
> In case steps 3 and 4 above were not clear, here's a little more detail.
> After finding WL1, WL2, WS1, and WS2, I'd like to form two time series
> of historical returns. The first time series take the historical returns
> of the two long stocks and combines them using WL1 and WL2 (i.e., long
> portfolio, PL = WL1*R1 + WL2*R2, where R1 and R2 are the time series of
> returns for long stock 1 and 2, respectively). The second does the same
> for the short stocks using WS1 and WS2. Then given the two portfolios,
> PL (long) and PS (short), I want to find the beta of PL to PS. Finally,
> I want to have the ultimate portfolio, P, to be as follows: P = PL -
> B*PS (where B is the beta of PL to PS). The final weights with the beta
> included would be:
>
> WL1 = IVL1/(IVL1 + IVL2)
> WL2 = IVL2/(IVL1 + IVL2)
> WS1 = B*IVS1/(IVS1 + IVS2)
> WS2 = B*IVS2/(IVS1 + IVS2)
>
> (But, of course, one needs to find the weights sans B first in order to
> find B.) Would be grateful for any pointers as to how to go about
> implementing this, if it's indeed possible.
>
> Regards,
> Ray
>
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