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When I am testing a new RotationalMode system, I include an
Exploration Section with a column showing the PositionScore element,
in your case RS, to see what the scores are and if they are producing
the results I am looking for.
dale b
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> 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);
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