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Tomasz,
You would add considerably more flexibility to AmiBroker if scoreNorotate became symbol specific. This would allow one to set the PositionScore to scoreNorotate for all symbols or to specific symbols. It would make AmiBroker even better. As for your most recent reply, I offer the following for discussion.
Your fix will ONLY WORK IF setting the scores to the same value does not cause trading. In other words, an existing position IS NOT rotated if another issue has the same score.
Let me provide another example.
_________
Let's say that you are rotating to the 3 best funds (to keep it simple - MaxOpenPositions = WorstRankHeld = 3), and timing the market with a general timing signal. At the time of the sell, let's say they were -
A - 70
B - 80
C - 66
D - 64
E - 62
Now, what you want to do is to hold A, B, C until their scores go down below 60.
YOU DON'T KNOW WHICH ONES WILL BE HELD AT THE TIME OF THE SELL. So, you can't set all of the scores above 60 to PositionScore + 100. If you do that and the scores change to the following during the sell -
A - 70
B - 80
C - 61
D - 67
E - 62
Then, C would be replaced with D.
In any case, a symbol specific scorenorotate enhancement to AmiBroker will help. Maybe in time we will be able to know if we own or don't own a symbol on a particular date. This would be even better as we would be able to code stuff like 'hold minimum days" like the FastTrack folks can do now via Trade.
Regards and I look forward to your reply,
Bert
Tomasz Janeczko <amibroker@xxxxxx> wrote:
Bert,
It seems you have skipped my reply, so here it is again:
If you don't want to sell, just set the PositionScore to a some high number
(let's say 500) that is higher than your normal scores. That's it.
PositionScore = ... your regular code...
PositionScore = IIF( RSIStoch > 50, 500, PositionScore );
/* 500 is used here, but you can use any value higher than your regular score to prevent selling */
and for the merit of scoreNoRotate - it is used for global market timing - to stop rotation
on certain global conditions.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Bert Steele" <bistrader@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, October 05, 2004 8:02 PM
Subject: RE: [amibroker] FASTTRACK USERS TAKE NOTE -- NEED YOUR HELP!!!!!!!
>
> Dave,
>
> I have not seen other behavior. More to the point, we have been working on this for about a month now and really do not
> understand the value of scorenorotate if it in fact was intended to have this behavior.
>
> I understand that Fred Tonetti was one of the original developers of rotational trading. I'll make a separate posting asking if
> this is the behavior he intended and if so how does he deal with one's desire to keep a symbol, no matter what, as long as
> something like an RSI Stochasitic stays above a certain level.
>
> By the way, it would be appreciated if you could help me understand the value of scorenorotate if its behavior is to be date and
> not symbol specific. What is its value?
>
> Regards and thanks,
>
> Bert
>
> Dave Merrill <dmerrill@xxxxxxx> wrote:
> I think this behavior hasn't changed; it's been this way since it was
> introduced, and there is no per-symbol equivalent. If you were seeing
> otherwise, I can't explain it.
>
> Dave Merrill
> ScoreNoRotate does not work as expected!
>
> Please copy and paste the following code into your AA window. Read it
> and then run it, following the simple directions provided in the
> code. Reply to this email as well so we can have dialog on this
> important issue.
>
> Per Marcin Gorzynski at AmiBroker Support, ScoreNoRotate does not
> work on 'per symbol' but on 'per date/time' basis, so if you have
> positionScore equal to ScoreNoRotate for just one symbol - it
> will stop any rotation (only stops will work, but no other trades
> will be performed).
>
> This is a big problem for FastTrack users.
>
> Lets say that you do not want to sell any fund (that you own) during
> the Sell period unless its RSI Stochastic falls below 50. Well, the
> Dallas FastTrack group understood that it could set PositionScore to
> ScoreNoRotate (in rotational trading) for those funds with
> RSIStochastic values above 50. Thus, if one set the PositionScore to
> zero for all other funds during the sell period, then only the funds
> with RSIStochastic values less than 50 would be sold.
>
> However, this is not how AmiBroker works (today) as noted above.
> Imagine that you have a list of 100 'good' funds, want to own no more
> than 5 during any period, are willing to keep any fund that you know
> own as long as it remains in the top 30 and has an RSI Stochastic
> greater than 50. How do you do this? It certainly is not an
> uncommon issue for FastTrack users. Sure, one can set the
> PositionScore to a positive number if the funds RSI Stochastic is
> greater than 50, but this will not always work give the top 30 cut
> off (i.e., the fund must be in the top 30, based on PositionScore,
> and also have an RSI Stochastic greater than 50 during the sell
> period or it will be sold).
>
> Am I missing something??? SHOULDN'T SCORENOROTATE BE CHANGED TO
> BE 'PER SYNMOL' AND NOT 'PER DATE' AS IS THE CASE TODAY?????? IF
> NOT, THEN WHAT IS THE VALUE OF SCORENOROTATE????
>
>
> [Non-text portions of this message have been removed]
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
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