  We build a multiassets heterogeneous agents model with fundamentalists and
chartists, who make investment decisions by maximizing the constant relative
risk aversion utility function. We verify that the model can reproduce the main
stylized facts in real markets, such as fat-tailed return distribution and
long-term memory in volatility. Based on the calibrated model, we study the
impacts of the key strategies' parameters on investors' wealth shares. We find
that, as chartists' exponential moving average periods increase, their wealth
shares also show an increasing trend. This means that higher memory length can
help to improve their wealth shares. This effect saturates when the exponential
moving average periods are sufficiently long. On the other hand, the mean
reversion parameter has no obvious impacts on wealth shares of either type of
traders. It suggests that no matter whether fundamentalists take moderate
strategy or aggressive strategy on the mistake of stock prices, it will have no
different impact on their wealth shares in the long run.
