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Is this problem solved already?
I've the same problem, that when the "Allow position size shrinking"
box is checked, the
position selected is not the highest ranked position according to the
criteria used in the "Positionscore" equation, especially when
scaling into a position. I don't use rotational trading.
I use v. 4.70 RC 3.
Regards,
Christian
--- In amibroker@xxxxxxxxxxxxxxx, "onelkm" <LKMCD1@xxxx> wrote:
>
> I can't figure out why this happens – When I run a portfolio
> backtest I get different results depending on whether the "Allow
> position size shrinking" box is checked in "Backtester Settings"
yet
> I am only trading one fund at a time. I looked through the help
files
> but found nothing. Here is a simple example of the code:
>
> pos = Optimize("pos", 1, 1, 4, 1);
> SetOption("MaxOpenPositions", pos );
> per1 = Optimize("per1", 43, 5, 60, 1);
> gain=(C-Ref(C,-per1))/Ref(C,-per1);
> amt1 = Optimize("amt1", 45, 1, 60, 1);
> amt2 = Optimize("amt2", 0.044, 0.01, 0.3, 0.001);
> Buy =gain>amt2;
> Sell=0;
>
> PositionSize = -100/pos;
> PositionScore = 10000+ ROC(C,amt1) ;
> trail = Optimize("trail", 2.6, 0.5, 6, 0.1);
> ApplyStop( stopTypeTrailing, stopModePercent, trail, True );
> Loss = Optimize("Loss", 0.3, 0.1, 3, 0.1);
> ApplyStop( stopTypeLoss, stopModePercent, Loss, True );
>
> Also, when the "Allow position size shrinking" box is checked, the
> fund selected is not the highest ranked fund according to the
> criteria used in the "Positionscore" equation. However, when the
box
> is not checked, the highest ranked fund is selected.
> Any clues why this happens???
> Thanks
> Larry
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