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I am trying to develop a rotational trading system in the backtester
for ETF's. What I want to do is evaluate the funds on Friday (EOD)
for buy and sells on the following Monday. I am looking to divide
the portfolio equally amongst the 4 funds that exhibit the "best
scores" on a "long only basis"
The following code mostly picks buys on Mondays, (why ALL are not on
a Monday still puzzles me) but in each case the backtester sell them
on the day following the buy (instead of being sold on the following
Monday) at the open if it no longer ranks in the top 4.
If anyone can point out why this happens, I would be most
appreciative. Here is the code:
EnableRotationalTrading();
SetTradeDelays( 1, 1, 1, 1 );
SetOption("InitialEquity", 10000 );
SetOption("AllowPositionShrinking", True );
SetOption("MaxOpenPositions", 4 );
SetOption("WorstRankHeld",5);
PositionSize = -100/4;
PS = 0.5*MA(ROC(C,1),3) + 0.25*MA(ROC(C,2),3) + 0.125*MA(ROC(C,4),3)
+ 0.08 *MA(ROC(C,12),3) + 0.045*MA(ROC(C,52),3)AND DayOfWeek() == 5;
PositionScore = Max(PS,0); // pick longs only
Thanks in advance
Rick
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