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Hello,
I would like to optimize the PositionSize for each of three symbols
so that the PositionSize depends on whether a symbol is first, second
or third in PositionScore ranking. Can this be done in AmiBroker via
Rotational Trading?
I have a system that trades three symbols. Based on trial and error,
I know the following:
When Symbol #1 is ranked as the highest PositionScore, then …
The PositionSize for Symbol #1 should be 100% with the PositionSize
for the remaining 2 symbols set at 0%.
When Symbol #2 is ranked as the highest PositionScore, then …
the PositionSize for Symbol #2 should be 1/3 or 33%. The
PositionSize for Symbol #1 should be 1/3 and the PositionSize ror
Symbol #3 should be 1/3.
When Symbol #3 is ranked as the highest PositionScore, then …
the PositionSize for Symbol #2 should be 2/3 or 66%. The
PositionSize for the second ranked symbol should be the remaining 1/3
with the last symbol's PositionSize at 0%.
I would like to NOT use trail and error. Rather, I would like to
optimize PositionSize dynamically (i.e., based on the ranking number
for each of the 3 funds).
Thanks in advance for the direction.
Bert
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