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The problem may be related to what PS is on days other than Friday.
Pick an ETF that you know was bought and plot PS covering the time
frame of the buy and sell
--- In amibroker@xxxxxxxxxxxxxxx, "ricko8294_98" <ricko@xxxx> wrote:
>
> 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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