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Hello,
I answered already on the list and have no more to say in this matter.
I can only repeat what I have already written:
scoreNoRotate works as described in the User's Guide
http://www.amibroker.com/f?enablerotationaltrading
It is intended to be used in general market timing only.
As each part of AmiBroker also backtester will be enhanced further
but I do not unveil any details as of now.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "dlwil1935" <dlwil@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, October 14, 2004 12:09 AM
Subject: [amibroker] WAS THERE AN ANSWER TO SCORENOROTATE?
>
>
>
> Tomasz,
>
> I have looked but I do not see your response to the following
> AmiBroker
> Yahoo posting? Please post a reply or point me to your posting.
>
> I have been working on one rotational trading afl for some time and
> need to
> know what tickers are owned on a particular day. I could get away
> with
> using scorenorotate if it was ticker specific, although this would
> limit
> what I would like to do. I trade only mutual funds and FastTrack
> provides
> my data source. Is there a plan to have AmiBroker remember what
> tickers are
> owned on a particular date like the original Fred Tonetti work? Is
> there a
> plan to have AmiBroker apply scorenorotate to tickers and not just
> the
> date?
>
> Don
>
> _________________________________________________________
>
> 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
>
>
>
>
>
>
>
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> Yahoo! Groups Links
>
>
>
>
>
>
>
>
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