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After countless trials and errors now I THINK I found the culprit.
AmiBroker skips a day that ANY of the securities has a hole on THAT DAY.
Is this a feature or a bug ?
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Hello,
>
> If you count it from that side then yes :-)
> But I was counting from TRADING day, backwards....
>
> The very first trade may be the same but it does not need to be the
same.
> Let me show one of possibilities:
> suppose that Day0 is ranking day and "XYZ" had highest score,
> however on Day2 this symbol is not traded or has very low volume.
> If it was not traded then it won't be entered.
> If it has very low volume then depending on settings you may or may
not enter such trade
> (see "% limit of bar volume" setting)
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "qqqqq_99999_qqqqq" <qqqqq_99999_qqqqq@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Thursday, June 09, 2005 8:56 PM
> Subject: [amibroker] Re: Rotational Trading and TradeDelays
>
>
> >
> > Tomasz,
> >
> > I don't want to waste more of your precious time but...
> >
> > Day0 Ranking Day
> > Day1 Trade Day with delay of 1
> > Day2 Trade Day with delay of 2
> >
> > ranking day is YESTERDAY from Day1.
> > ranking day is DAY BEFORE YESTERDAY from Day2.
> >
> > But the Ranking Day is the same, Day0, from both.
> >
> > So the first trade would be the same regardless of trade delays,
> > wouldn't it ?
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
> > wrote:
> >> No, ranking day is different - with delay of 1 ranking day is
YESTERDAY,
> >> and with delay of 2 ranking day is DAY BEFORE YESTERDAY.
> >>
> >> Best regards,
> >> Tomasz Janeczko
> >> amibroker.com
> >> ----- Original Message -----
> >> From: "qqqqq_99999_qqqqq" <qqqqq_99999_qqqqq@xxxx>
> >> To: <amibroker@xxxxxxxxxxxxxxx>
> >> Sent: Thursday, June 09, 2005 2:41 PM
> >> Subject: [amibroker] Re: Rotational Trading and TradeDelays
> >>
> >>
> >> >
> >> > Thank you for your prompt reply.
> >> >
> >> > "today's trades" may be different but the ranking day is the
same for
> >> > both.
> >> >
> >> > So at least the first trade should be the same, shouldn't it ?
> >> >
> >> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
<amibroker@xxxx>
> >> > wrote:
> >> >> That's simple - changing delay from 1 to 2 means that
> >> >> today's trades that depent on yesterday scores now depend on day
> >> > before yesterday scores.
> >> >> So today's trades would be different.
> >> >>
> >> >> It is never the same if you delay execution because PRICES and
> >> > VOLUMES change
> >> >> and amount purchased differs so do the profits.
> >> >> When profits are different equity is different and next trades are
> >> > also open
> >> >> with different sizes. Because of different equity levels certain
> >> > minimums/maximums may not be reached
> >> >> or may be exceeded then certain trades may not be entered or some
> >> > extra ones may occur.
> >> >>
> >> >> Best regards,
> >> >> Tomasz Janeczko
> >> >> amibroker.com
> >> >> ----- Original Message -----
> >> >> From: "qqqqq_99999_qqqqq" <qqqqq_99999_qqqqq@xxxx>
> >> >> To: <amibroker@xxxxxxxxxxxxxxx>
> >> >> Sent: Thursday, June 09, 2005 10:08 AM
> >> >> Subject: [amibroker] Rotational Trading and TradeDelays
> >> >>
> >> >>
> >> >> > -------------------------------------
> >> >> >
> >> >> > EnableRotationalTrading();
> >> >> > SetOption( "MaxOpenPositions", 10 );
> >> >> > SetOption( "WorstRankHeld", 10 );
> >> >> >
> >> >> > PositionSize = -100 / 10;
> >> >> > PositionScore = IIf( Year() != Ref( Year(), 1 ), 100 - RSI(),
> >> >> > scoreNoRotate );
> >> >> >
> >> >> > SetTradeDelays( 1, 1, 1, 1 );
> >> >> > //SetTradeDelays( 2, 2, 2, 2 );
> >> >> >
> >> >> > -------------------------------------
> >> >> >
> >> >> > I just can't really figure out why the first trade date and the
> > number
> >> >> > of trades are DIFFERENT when the TradeDelays is changed from 1
> > to 2.
> >> >> >
> >> >> > Could anyone try and tell me why ?
> >> >> >
> >> >> >
> >> >> >
> >> >> >
> >> >> >
> >> >> >
> >> >> > Please note that this group is for discussion between users
only.
> >> >> >
> >> >> > To get support from AmiBroker please send an e-mail directly to
> >> >> > SUPPORT {at} amibroker.com
> >> >> >
> >> >> > For other support material please check also:
> >> >> > http://www.amibroker.com/support.html
> >> >> >
> >> >> >
> >> >> > Yahoo! Groups Links
> >> >> >
> >> >> >
> >> >> >
> >> >> >
> >> >> >
> >> >> >
> >> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >> > Please note that this group is for discussion between users only.
> >> >
> >> > To get support from AmiBroker please send an e-mail directly to
> >> > SUPPORT {at} amibroker.com
> >> >
> >> > For other support material please check also:
> >> > http://www.amibroker.com/support.html
> >> >
> >> >
> >> > Yahoo! Groups Links
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >
> >
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
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