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Hello,
Of course one can implement it in regular mode too:
numstocks = 5;
SetOption("MaxOpenPositions", numstocks );
PositionSize = -100/ numstocks;
YearlyReturn = ROC( C, 252 );
BeginningOfTheYear = Year() != Ref( Year(), -1 );
PositionScore = 1 / YearlyReturn; // lower return -> higher score
Buy = BeginningOfTheYear;
Sell = Ref( BeginningOfTheYear, 1 ); // sell day before switch
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Tomasz Janeczko" <tj@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, February 18, 2005 4:14 PM
Subject: Re: [amibroker] Backtest and portfolio
> Hello,
>
> Here is the formula that implements your idea:
>
>
>
>
> numstocks = 5;
> EnableRotationalTrading();
> SetOption("MaxOpenPositions", numstocks );
> SetOption("WorstRankHeld", numstocks );
>
> PositionSize = -100/ numstocks;
>
> YearlyReturn = ROC( C, 252 );
>
> score = 1 / YearlyReturn; // lower return -> higher score
>
> BeginningOfTheYear = Year() != Ref( Year(), -1 );
>
> PositionScore = IIF( BeginningOfTheYear, score ,
> scoreNoRotate );
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "supistarde" <supistarde@xxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, February 18, 2005 12:49 PM
> Subject: [amibroker] Backtest and portfolio
>
>
>>
>>
>>
>> Hi Amibroker community,
>>
>> I am new in backtesting. I have the following portfolio-problem:
>> I want to filter the 5 lowest yearly-returns from the Dow Jones
>> Industrial on the beginning of a year. Afterwards the system holds the
>> five stocks for 12 months.
>> Sounds simple, but how do I do it?
>>
>> Greetings from Germany
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>> Check AmiBroker web page at:
>> http://www.amibroker.com/
>>
>> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>> Yahoo! Groups Links
>>
>>
>>
>>
>>
>>
>>
>>
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