[amibroker] No Trades in Rotational Mode

["Ken Close" <closeks@xxxxxxxx>]

I am hoping someone has a simple fix for a perplexing problem.

I have a simple four fund system, with a fairly simple scoring algorithm.  I am simply "forcing" a score upon each of 4 funds depending on a Sig value.  As the Sig value changes, I want to hold 1 particular fund, and I "force" the score for the fund I want to be the highest.

A portion of the scoring code is as follows:

RS =(Sig<2 AND Name()=="SML4")*10 +

    (Sig<2 AND Name()=="SML3")*4 + 

    (Sig<2 AND Name()=="SML2")*6 +

    (Sig<2 AND Name()=="SML1")*8 +

    (Sig==2 AND Name()=="SML4")*8 +

    (Sig==2 AND Name()=="SML3")*10 + 

    (Sig==2 AND Name()=="SML2")*4 +

    (Sig==2 AND Name()=="SML1")*6 +

etc

PositionScore = RS;

Try as I might, I cannot get it to show any open positions, although it does appear to score everything correctly for every bar in the test range.

The detailed log shows the funds being scored but no Open positions.





All settings have been triple checked (see PS below for completeness), but is there anything obvious that I am leaving off based on just this info.  The SML1, SML2, SML3, and SML4 shown above, which are the four "funds" contained in the watchlist, are "calculated" from combinations of real funds and would not be available to any of you.  Each SMLx "fund", when plotted, looks like any other fund price plot.

Any comments, public or private, would be appreciated.

Ken 

PS:

EnableRotationalTrading();  //This allows rotational mode to occur and ignores all Buy/Sell/Short/Cover signals.

STARTEQ = 100000;//Optimize("Starting Equity",100000,25000,1000000,25000);

SetOption("InitialEquity", STARTEQ);

SetOption("AllowPositionShrinking",True);

SetOption("MinShares",1);  //1 for Funds, 100 for Stocks

RoundLotSize = 0;  //0 for Funds, 100 for Stocks

SetTradeDelays(1,1,1,1);  //Buy, Sell, Short, Cover delays

BuyPrice = C;           SellPrice = C;

ShortPrice = C;         CoverPrice = C;

SetOption("AllowSameBarExit",False);

SetOption("ActivateStopsImmediately",False);

SetOption("FuturesMode",False);

SetOption("InterestRate",0.00);

//====================  Rotational Trading Settings  ====================

MaxPos = 1;//Param("Maximum # of Open Positions",2,1,15,1);//Optimize("Max Positions",5,1,15,1);

SetOption("MaxOpenPositions",MaxPos);

PositionSize = 1000;///MaxPos; //Minus sign = %, otherwise dollars

Factor = Param("WRH Multiple of MaxPos",2,1,50,1);  //What multiple of MaxPositions

WRH = 3;//MaxPos * Factor;  //Worst Rank Held calculated as a multiple of MaxPositions

SetOption("WorstRankHeld",WRH);




Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html








Yahoo! Groups Sponsor


ADVERTISEMENT




Click Here















Yahoo! Groups Links
To visit your group on the web, go to:http://groups.yahoo.com/group/amibroker/ 
To unsubscribe from this group, send an email to:amibroker-unsubscribe@xxxxxxxxxxxxxxx 
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.