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Hi,
thanks for your help. This few lines look easy, but they are not! I
tried to change the system to buying on February and selling on
August, but it did not work. How do I do this?
Greetings
Peter
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> 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@xxxx>
> 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@xxxx>
> > 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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