|
PureBytes Links
Trading Reference Links
|
<FONT face=Arial color=#0000ff
size=2>Ken,
<FONT face=Arial color=#0000ff
size=2>
I
can't help but think that you may be opening your first position and never
closing it. Of course, I can't tell what is going on with your SIG
calculation. I would try reducing WRH to 1 or 2 and trying it that
way. Otherwise, I'm stumped!!
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Ken Close
[mailto:closeks@xxxxxxxx]Sent: Wednesday, February 25, 2004 8:32
PMTo: AmiBroker ListSubject: [amibroker] No Trades in
Rotational Mode
I am hoping someone
has a simple fix for a perplexing problem.<SPAN
lang=en-us>
I have a simple four
fund system, with a fairly simple scoring<SPAN
lang=en-us> <FONT face=Verdana
size=2>algorithm.<FONT
face=Verdana size=2> 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 <FONT face=Verdana
size=2>particular <FONT
face=Verdana size=2>fund<SPAN
lang=en-us>, and I "force" the score for the fund I
want to be the highest<SPAN
lang=en-us>.<SPAN
lang=en-us>
A portion of the
scoring code is as follows:
<FONT face="Courier New" color=#000000
size=2>RS =(Sig<<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>2<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>
AND<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2><SPAN
lang=en-us> <FONT face="Courier New" color=#0000ff
size=2>Name<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>()==<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"SML4"<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>)*<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>10<SPAN
lang=en-us>
+
<FONT face="Courier New" color=#000000
size=2> (Sig<<SPAN
lang=en-us><FONT face="Courier New"
color=#ff00ff size=2>2<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>
AND<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2><SPAN
lang=en-us> <FONT face="Courier New" color=#0000ff
size=2>Name<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>()==<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"SML3"<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>)*<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>4<SPAN
lang=en-us> +
<FONT face="Courier New" color=#000000
size=2> (Sig<<SPAN
lang=en-us><FONT face="Courier New"
color=#ff00ff size=2>2<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>
AND<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2><SPAN
lang=en-us> <FONT face="Courier New" color=#0000ff
size=2>Name<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>()==<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"SML2"<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>)*<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>6<SPAN
lang=en-us>
+
<FONT face="Courier New" color=#000000
size=2> (Sig<<SPAN
lang=en-us><FONT face="Courier New"
color=#ff00ff size=2>2<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>
AND<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2><SPAN
lang=en-us> <FONT face="Courier New" color=#0000ff
size=2>Name<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>()==<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"SML1"<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>)*<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>8<SPAN
lang=en-us>
+
<FONT face="Courier New" color=#000000
size=2> (Sig==<SPAN
lang=en-us><FONT face="Courier New"
color=#ff00ff size=2>2<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>
AND<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2><SPAN
lang=en-us> <FONT face="Courier New" color=#0000ff
size=2>Name<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>()==<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"SML4"<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>)*<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>8<SPAN
lang=en-us>
+
<FONT face="Courier New" color=#000000
size=2> (Sig==<SPAN
lang=en-us><FONT face="Courier New"
color=#ff00ff size=2>2<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>
AND<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2><SPAN
lang=en-us> <FONT face="Courier New" color=#0000ff
size=2>Name<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>()==<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"SML3"<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>)*<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>10<SPAN
lang=en-us> +
<FONT face="Courier New" color=#000000
size=2> (Sig==<SPAN
lang=en-us><FONT face="Courier New"
color=#ff00ff size=2>2<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>
AND<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2><SPAN
lang=en-us> <FONT face="Courier New" color=#0000ff
size=2>Name<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>()==<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"SML2"<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>)*<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>4<SPAN
lang=en-us>
+
<FONT face="Courier New" color=#000000
size=2> (Sig==<SPAN
lang=en-us><FONT face="Courier New"
color=#ff00ff size=2>2<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>
AND<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2><SPAN
lang=en-us> <FONT face="Courier New" color=#0000ff
size=2>Name<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>()==<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"SML1"<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>)*<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>6<SPAN
lang=en-us>
+
etc
PositionScore =
RS;
Try as I might, I
cannot get it to show any open positions<SPAN
lang=en-us>, although it
does appear to score everything correctly for every bar in the test
range<FONT face=Verdana
size=2>.
The detailed log
shows the funds being scored but no Open positions.<SPAN
lang=en-us>
All settings have
been triple checked<SPAN
lang=en-us> (see PS below for
completeness)<FONT
face=Verdana size=2>, but is there any<SPAN
lang=en-us><FONT face=Verdana
size=2>thing<FONT
face=Verdana size=2> obvious<SPAN
lang=en-us> that<SPAN
lang=en-us> I am leaving off
based on just this info. <SPAN
lang=en-us> T<SPAN
lang=en-us>he
SML<FONT face=Verdana
size=2>1, 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.<SPAN
lang=en-us> Each SMLx
"fund", when plotted, looks like any other fund price plot.<SPAN
lang=en-us>
Any comments, public
or private, would be appreciated.
<FONT face=Verdana
size=2>Ken<FONT
face=Verdana size=2>
PS:
<FONT face="Courier New" color=#0000ff
size=2>EnableRotationalTrading<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2>(); <SPAN
lang=en-us> <FONT face="Courier New"
color=#008000 size=2>//This allows rotational mode to occur and ignores all
Buy/Sell/Short/Cover signals.<SPAN
lang=en-us>
<FONT face="Courier New" color=#000000
size=2>STARTEQ =<SPAN
lang=en-us> <FONT face="Courier New" color=#ff00ff
size=2>100000<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>;<SPAN
lang=en-us><FONT face="Courier New" color=#008000
size=2>//Optimize("Starting
Equity",100000,25000,1000000,25000);<SPAN
lang=en-us>
<FONT face="Courier New" color=#0000ff
size=2>SetOption<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>(<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"InitialEquity"<SPAN
lang=en-us>,
STARTEQ);
<FONT face="Courier New" color=#0000ff
size=2>SetOption<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>(<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"AllowPositionShrinking"<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2>,<SPAN
lang=en-us><FONT face="Courier New" color=#ff0000
size=2>True<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>);
<FONT face="Courier New" color=#0000ff
size=2>SetOption<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>(<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"MinShares"<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>,<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>1<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>); <SPAN
lang=en-us> //1 for Funds,
100 for Stocks<SPAN
lang=en-us>
<FONT face="Courier New" color=#ff0000
size=2>RoundLotSize<SPAN
lang=en-us>
= <FONT
face="Courier New" color=#ff00ff size=2>0<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2>; <SPAN
lang=en-us> <FONT face="Courier New"
color=#008000 size=2>//0 for Funds, 100 for Stocks<SPAN
lang=en-us>
<FONT face="Courier New" color=#0000ff
size=2>SetTradeDelays<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>(<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>1<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>,<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>1<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>,<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>1<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>,<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>1<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>); <SPAN
lang=en-us> //Buy, Sell,
Short, Cover delays<SPAN
lang=en-us>
<FONT face="Courier New" color=#ff0000
size=2>BuyPrice<SPAN
lang=en-us>
= <FONT
face="Courier New" color=#ff0000 size=2>C<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2>;
<SPAN
lang=en-us> <FONT face="Courier New"
color=#ff0000 size=2>SellPrice<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2> =<SPAN
lang=en-us> <FONT face="Courier New" color=#ff0000
size=2>C<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>;
<FONT face="Courier New" color=#ff0000
size=2>ShortPrice<SPAN
lang=en-us>
= <FONT
face="Courier New" color=#ff0000 size=2>C<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2>;
<SPAN
lang=en-us> <FONT face="Courier New"
color=#ff0000 size=2>CoverPrice<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2> =<SPAN
lang=en-us> <FONT face="Courier New" color=#ff0000
size=2>C<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>;
<FONT face="Courier New" color=#0000ff
size=2>SetOption<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>(<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"AllowSameBarExit"<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2>,<SPAN
lang=en-us><FONT face="Courier New" color=#ff0000
size=2>False<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>);
<FONT face="Courier New" color=#0000ff
size=2>SetOption<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>(<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"ActivateStopsImmediately"<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2>,<SPAN
lang=en-us><FONT face="Courier New" color=#ff0000
size=2>False<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>);
<FONT face="Courier New" color=#0000ff
size=2>SetOption<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>(<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"FuturesMode"<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>,<SPAN
lang=en-us><FONT face="Courier New" color=#ff0000
size=2>False<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>);
<FONT face="Courier New" color=#0000ff
size=2>SetOption<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>(<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"InterestRate"<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>,<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>0.00<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>);
<FONT face="Courier New" color=#008000
size=2>//==================== Rotational Trading Settings
====================<SPAN
lang=en-us>
<FONT face="Courier New" color=#000000
size=2>MaxPos =<SPAN
lang=en-us> <FONT face="Courier New" color=#ff00ff
size=2>1<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>;<SPAN
lang=en-us>//Param("Maximum #
of Open Positions",2,1,15,1);//Optimize("Max
Positions",5,1,15,1);<SPAN
lang=en-us>
<FONT face="Courier New" color=#0000ff
size=2>SetOption<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>(<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"MaxOpenPositions"<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2>,MaxPos);
<FONT face="Courier New" color=#ff0000
size=2>PositionSize<SPAN
lang=en-us>
= <FONT
face="Courier New" color=#ff00ff size=2>1000<SPAN
lang=en-us><FONT face="Courier New"
color=#000000 size=2>;<SPAN
lang=en-us>///MaxPos; //Minus
sign = %, otherwise dollars<SPAN
lang=en-us>
<FONT face="Courier New" color=#000000
size=2>Factor =<SPAN
lang=en-us> <FONT face="Courier New" color=#0000ff
size=2>Param<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>(<SPAN
lang=en-us>"WRH Multiple of
MaxPos"<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>,<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>2<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>,<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>1<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>,<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>50<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>,<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>1<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>); <SPAN
lang=en-us> //What multiple
of MaxPositions<SPAN
lang=en-us>
<FONT face="Courier New" color=#000000
size=2>WRH =<SPAN
lang=en-us> <FONT face="Courier New" color=#ff00ff
size=2>3<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>;<SPAN
lang=en-us>//MaxPos *
Factor; //Worst Rank Held calculated as a multiple of
MaxPositions<SPAN
lang=en-us>
<FONT face="Courier New" color=#0000ff
size=2>SetOption<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>(<SPAN
lang=en-us><FONT face="Courier New" color=#ff00ff
size=2>"WorstRankHeld"<SPAN
lang=en-us><FONT face="Courier New" color=#000000
size=2>,WRH);Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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.
|