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Hi Gary---Thanks for the prompt reply. I am
getting it all checked out today.
Wayne
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Gary
A. Serkhoshian
To: <A title=wayne100@xxxxxxx
href="">Wayne Kroutil ; <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, November 18, 2003 1:40
PM
Subject: [amibroker] Instructions on how
to use the RUTVOL timing and BB scoring AFL
Hi Wayne !
I've copied the AmiBroker list as several others have asked the same
question, and I apologize for not giving more detailed instructions of "how
to" related to using the .afl I posted.
Here goes:
1. Load the afl in AA window.
Starting from Top to Bottom we'll run through the right column
features
2. Apply to. Use can select a watchlist of Russell 2K stocks which
Fred was kind enough to post via "use filter", or just run it against "all
stocks". If you run it against all stocks in database, you may want to
add at least a volume filter if not a price filter. Example
PRICEOK = C > 5;
VOLOK = MA(V,21) > 500000;
Then modify position score:
PositionScore = 100<FONT
size=2> - 100 *
(Close - LBBand) / (UBBand - LBBand) * PRICEOK * VOLOK;<FONT
color=#008000 size=2>//0 when C == Upper Band, 100 when C == Lower
Band
3. Range. Select whatever time period you'd like. I run a YTD
via "from to" dates
4. Click "check" to make sure all the afl is okay. It's just
a good habit : )
5.a. Click "Settings" button "General" tab.
Make sure "positions" reads long as this is a long only
methodology. Periodicity should read daily. I have a round lot
size of 100 and a percent commission of 0.5 just to build in some slippage
costs.
5.b. Click "Trades" tab. Trade delays are already built in
the code of 1 day, but you may want to tailor the prices to open for testing
stocks.
5.c. Click "Stops" tab. Make sure all stops are
disabled.
5.d. Click "Report" tab and select detailed log so you can see
what's going on with the selection method.
5.e. Click " Portfolio" tab and make sure that the "Pad and align
all data to reference symbol" is checked and that you have the Russell 2K
symbol as the reference since this a general market signal driven by the
Russell.
5.f. You can check "add artificial future bar" if you want.
5.g. Click OK or you can save the settings to something other than
default if you want.
6. Click "Portfolio Optimize" button and voila! You have
results!
That wasn't too painful, was it?
Hope this helps,
Gary
Wayne Kroutil <wayne100@xxxxxxx> wrote:
<BLOCKQUOTE class=replbq
>
Hi Gary--I downloaded you RUTVOL afl but am not
able to get results with it. Would you provide details of how you set
it up and run it.? Thanks a million. I have used AB for a year
but have not not done portfolio trading. My time has been spent on AA
and IB.
Wayne Kroutil
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