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Tomasz,
Is it possible to know a symbol's rank and/or whether or not its in
MaxRanked at runtime while in backtest? I couldn't find something
like that in the docs, but just wanted to confirm.
Do you (and others) feel it would be a good feature to have? For
example, lets say you wanted to try a strategy as - "if this stock
was a high flier, i.e. within MaxRanked for last couple of days, and
today its not, then may be its a signal (long or short depending on
your ranking algo)".
Thanks.
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Herman,
>
> Of course PositionScore can be changed dynamically.
> If is actually done so in sample formula. The score is DYNAMIC
> and separate for each security.
>
> Scores are evaluated each bar and sorted. TOP "max. traded"
> symbols are being traded.
>
> But scoring happens BEFORE evaluating portfolio value (trading).
> This is important to understand that internal procedure is:
> - calculating score (by executing your AFL formula)
> - sorting by scores (ranking)
> - trading highest ranked securities
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Herman van den Bergen" <psytek@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, September 26, 2003 1:31 AM
> Subject: RE: [amibroker] Portfolio trading
>
>
> > Thanks Tomasz,
> >
> > "Below you wrote: Score is PER SYMBOL. You need separate score
for EACH
> > security.
> > So you can use individual Equity as score (taken from Equity()
function)
> > but you can not use portfolio equity as score because it is only
one."
> >
> > But the Portfolio Equity is based on the price movement of the n
> > highest-scored stocks, not on the Equity resulting from trading
the
> > individual stock... so the Portfolio will not reflect the
additional gains
> > made by trading the individual stocks. I mean, a single scoring
period
> > cannot contain several trades?
> >
> > Can the PositionScore be changed dynamically, a different one for
each stock
> > tested?
> >
> > many thanks,
> > herman
> >
> >
> >
> >
> > -----Original Message-----
> > From: Tomasz Janeczko [mailto:amibroker@x...]
> > Sent: Thursday, September 25, 2003 7:21 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: Re: [amibroker] Portfolio trading
> >
> >
> > Hello,
> >
> > > I am probably not the only one who will have to struggle with
the new
> > > portfolio features so i might as well post my questions to the
board :-)
> > The
> > > Regular Mode appears to be easy and seems to work fine.
> > >
> > > However i have some questions about the Ranking/Scoring mode:
> > >
> > > 1) The Help says: "This mode uses user-defined score to rank
securities
> > and
> > > enter trades in highest scored securities. Buy/sell/short/cover
signals
> > are
> > > IGNORED in that mode."
> > >
> > > Does this mean that securities are purchased more-or-less like
buy&hold: a
> > > position stays open for as long as the security has the top
score?
> >
> > Yes. Top "max traded" securities are traded.
> > If you want to exit position you have to set PositionRank to zero.
> >
> > > 2) I do not want to just switch securities passively (slow
trading) I
> > would
> > > like to switch actively traded stocks. Especially Stocks that
are traded
> > > with different systems, i.e. using different and unrelated
periods and
> > > criteria. So, i want the Equity (system performance) to be
my "Score".
> >
> > Score is PER SYMBOL. You need separate score for EACH security.
> > So you can use individual Equity as score (taken from Equity()
function)
> > but you can not use portfolio equity as score because it is only
one.
> >
> >
> > >
> > > 3) It appears that the stocks are Scored daily, especially with
respect to
> > > item 2) above I would like to be able to Score "periodically",
either at
> > > regular intervals or at afl-determined times. Is this possible?
> >
> > Yes it is possible. Just use "ValueWhen" function to hold the
score for
> > defined period
> >
> > PositionRank = ValueWhen( DayOfWeek() == 5, your_formula ); //
this will
> > change scores only on fridays.
> >
> > Hope this helps.
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "Herman van den Bergen" <psytek@xxxx>
> > To: "AmiBroker" <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Friday, September 26, 2003 1:11 AM
> > Subject: [amibroker] Portfolio trading
> >
> >
> > > your comments will be much appreciated!
> > >
> > > herman.
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
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