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With all due respect, readers don't usually code complex questions
like these, especially if there hasn't already been some effort
exhibited.
OR... maybe people just dont' know how to code this thing...
just my 2 cents...
- chris
--- In amibroker@xxxxxxxxxxxxxxx, "bistrader" <bistrader@xxxx> wrote:
>
> 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 triall and error. Rather, I would like to
> optimize PositionSize dynamically (i.e., based on the ranking
number
> for each of the 3 funds). I know that there is no ranking number
in
> AB. Yet there may be a way of doing the above and if so I would
> appreciate help in doing so.
>
> Thanks in advance for the direction.
>
> Bert
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