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Hello,
It makes actually no sense in doing this that way because it will NOT lead
to correct results.
AGAIN: if you have regular buy/sell/short/cover rules
you must NOT use ranking system. Use 'regular mode' of backtester instead.
Just add positionsize variable to your code and do NOT add positionrank.
Ranking/scoring works OK if you assign SCORE to positionScore
variable and it should give some DIFFERENT values for each security
so ranking is possible. Otherwise (if all scores are the same as in your
code) ranking makes NO SENSE. If all scores are the same securities
are ranked according to positionsize and then alphabetical order.
Using ranking mode that way is WRONG and is highly discouraged.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "gerryjoz" <gerryj@xxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, October 01, 2003 4:01 AM
Subject: [amibroker] Re: portfolio trading - poor man's scoring
> By way of clarification: this is not a scoring/ranking system....i
> just found it easy as a way of seeing how the new features worked,
> while playing with some of the parameters.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "gerryjoz" <gerryj@xxxx> wrote:
> > Tomasz helped me out (thanks again) with reading the manual (4.42
> > beta readme).
> > I had wanted to use existing code with minimal change to take
> > advantage of the new portfolio scoring feature, and thereby see how
> > position size and the other parameters affected drawdown.
> >
> > The code below now works for long only trades (doesn't go short).
> > The trick for me was that a score of zero disqualifies scoring and
> > results in exit from a long position. The buy/sell criteria below
> are
> > not recommended!
> >
> > /*CB-PB*/
> > PositionSize=-2;
> > Hhb=HHVBars(H,19)<=12;
> > Lowp=L<=LLV(L,7);
> > Buy=Hhb AND Lowp;
> > Sell= HHV(H,12)<=H ;
> >
> > /*poor man's scoring*/
> > Somebuy=Flip(Buy,Sell);
> > PositionScore=IIf(somebuy,somebuy,0);
> >
> > regards
> > Gerry
>
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
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