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David, that's a puzzler. I hadn't gotten so far as to trade a
rotational system in real time. Was only doing some research so
only used Backtester.
Is it possible that you would never get a signal with
> > weekend = DayOfWeek()>Ref(DayOfWeek(),1);
because for today (whatever today is), the database has no entry to
examine as Ref(dayofweek(),1)? I.e., if today is Monday, the script
can't look for Tuesday to see the value of dayofweek()?
Maybe
> > weekend = DayOfWeek()=7 (or whatever the right value is for
Friday);
would give Scan results, with the obvious caveat to lookout for
weeks that end on other than Friday.
David
--- In amibroker@xxxxxxxxxxxxxxx, "David Nowotnik" <dnowotnik@xxxx>
wrote:
> David,
>
> When I got fairly good results from the BackTest of your final
> version of "Weekly Portfolio Re-Balancing" I was keen to employ
the
> script in real-life; i.e. for it to recommend which funds to
switch
> to each Friday before the close (as a reminder, I am using it with
a
> fund family, in which I hold 2 funds at one time). As
> EnableRotationalTrading works for Backtester only, I assumed that
> running the script in Backtester on a Friday would give me the
> recommended funds that day. But instead, it ignored the end of
week
> signal that it should have received on a Friday, and continued to
> hold the funds from the previous Friday. The signal was also
ignored
> on Saturday and the following Monday!
>
> Presumably, therefore, Backtester cannot be used to 'scan', and as
> EnableRotationalTrading works for Backtester only, a completely
> different script is required to 'select' the top (using
> PositionScore) funds on a Friday. Do you have a working 'Scan'
script
> which performs the "Weekly Portfolio Re-Balancing" strategy?
>
> Thanks,
> David
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dweilmuenster95125"
> <dweilmuenster95125@xxxx> wrote:
> > Hi, yes, someone tipped me to an approach which goes like this
> > (omitting extraneous details):
> >
> > EnableRotationalTrading();
> >
> > weekend = DayOfWeek()>Ref(DayOfWeek(),1);
> >
> > PositionScore = IIf(weekend,100-rsi(2),scorenorotate);
> >
> >
> > Hope that helps with what you're trying to do.
> >
> >
> > Regards,
> > David
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "David Nowotnik"
<dnowotnik@xxxx>
> wrote:
> > > David,
> > >
> > > Did you get response to this question, as I would also like to
> > > develop a script which performs rotational trading but is not
> limited
> > > by what EnableRotationalTrading() does and does not appear to
> allow?
> > >
> > > I assume that the problem is that there is no option to
> > > AllowSameBarEntry, equivalent to AllowSameBarExit. So an exit
> cannot
> > > trigger the next entry even when Buy is true, but instead, you
> have
> > > to wait for the next bar in which a Buy condition is met.
> > >
> > > I tried many variations to your script (I'm sure you did too),
to
> no
> > > avail. The closest was to delay the buy to the first day of
the
> week
> > > following the sale:
> > >
> > > weekend = DayOfWeek()>Ref(DayOfWeek(),1);
> > > FirstDay = DayOfWeek()==1;
> > >
> > > RSI2 = RSIa(C,2);
> > > PositionScore = 100-RSI2;
> > >
> > > Buy = FirstDay;
> > > Sell = weekend;
> > >
> > > Regards,
> > > David
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "dweilmuenster95125"
> > > <dweilmuenster95125@xxxx> wrote:
> > > >
> > > > I am trying to set up a portfolio backtest to:
> > > >
> > > > - Buy on the last trading day of each week the top 2
equities
> in a
> > > > watchlist, ranked by 100-RSI(2).
> > > >
> > > > - Sell those 2 equities on the last trading day of the next
> week,
> > > and
> > > > replace them with 2 equities that satisfy the above rule.
> > > >
> > > > (Note: EnableRotationalTrading() doesn't do the trick,
because
> > > > I want to exit unconditionally at the end of the following
> week, not
> > > > because the current positions fall below a positionrank
> threshhold.)
> > > >
> > > > I'm using the code below, and it almost works. Problem is
that
> it
> > > > skips every other week. E.g., starting at the beginning of
> 2002, it
> > > > buys two stocks on 1/4/2002, and sells them on 1/11/2002.
But
> it
> > > > doesn't buy anything on 1/11/2002. Instead, it buys 2
stocks
> again
> > > on
> > > > 1/18/2002, and sells them on 1/25/2002. Doesn't buy
anything on
> > > > 1/25/2002. But, it buys 2 stocks on 2/1/2002, and sells
them on
> > > > 2/8/2002. Etc.
> > > >
> > > > Suggestions?
> > > >
> > > > Thanks,
> > > > David
> > > >
> > > > -------------------------------------------------------------
> > > >
> > > >
> > > > SetOption("InitialEquity",100000);
> > > > SetOption("CommissionMode",1);
> > > > SetOption("CommissionAmount",0);
> > > > SetOption("MaxOpenPositions",2);
> > > > SetOption("MarginRequirement",100);
> > > > SetOption("UsePrevBarEquityForPosSizing",False);
> > > > SetOption("AllowPositionShrinking" , True);
> > > > SetOption("AllowSameBarExit",False);
> > > > SetTradeDelays(0,0,0,0);
> > > > BuyPrice = C;
> > > > SellPrice = C;
> > > > SetPositionSize(50,spsPercentOfEquity);
> > > > RoundLotSize = 10;
> > > >
> > > > weekend = DayOfWeek()>Ref(DayOfWeek(),1);
> > > >
> > > > RSI2 = RSIa(C,2);
> > > > PositionScore = 100-RSI2;
> > > >
> > > >
> > > > Buy = weekend;
> > > > Sell = weekend;
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