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Tomasz,
I am posting this again as you may have overlooked my second reply.
It addresses scorenorotation from an enhancement perspective and also
documents why your suggestion on how to address in afl code does not
work.
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
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