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Are you looking to create a system that can buy/sell a basket of stocks?
That's an interesting question and I hope Tomasz responds.
I suppose you probably could simulate this by creating a composite of the
three symbols and figure out how many shares of that composite you would buy
based on your ranking system and the underlying price of the three
components....so I guess you would have to sort of track 4 symbols in your
system..the composite, and the price of the 3 components as foreign symbols?
Just theorizing...
Or are asking about pyramiding? This I do not believe is supported
currently, but there are plans to add it soon. Coming from a WLD world,
position management is one of the features I miss the most (and why I still
keep it around). I think of all the software I have tried, WLD does that the
best. Hopefully with the next version of AB, it will make up some ground
there.
-----Original Message-----
From: bistrader [mailto:bistrader@xxxxxxxxx]
Sent: Tuesday, November 16, 2004 11:42 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Dynamic PositionSize - Help Needed
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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