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Thanks for your comment. The interesting thing is that each position
is exited the very next day - without exception. So it doesn't seem
to be a function of what the PS is on other days.
Rick
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
>
> 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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