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Sorry, think I found my simple reason... in my momentary
mind lapse aka "brain fart" I didn't count the fact that the
sectors could have back to back worst performing years.
I am testing now to see if that is the reason. If anyone
sees something else please let me know.
Sorry to waste the bandwidth.
Duke Jones, CMT
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Duke
Jones,
> CMT
> Sent: Wednesday, August 31, 2005 9:00 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Rotational Trading Question
>
> Tomasz posted this code awhile back in answer to someone's
> question on how to test for a set portfolio of stocks
> based
> on the worst ROC performers from the pervious year, a
> "Dogs
> of the Dow" type portfolio. My only modification was to
> add
> the +1000 in line 10 to keep it from going short.
>
> When I run this against a basket of stocks it picks 5
> issues
> for every year and it appears to select the correct ones.
> However, when I run this against a watch list of the S&P
> Select Sector ETF and a couple of other ETF type WL's I
> get
> some years with 1 pick some with 3 etc. Also, it keeps
> positions beyond the 1 year time frame as can be seen in
> the
> attached picture. I can't seem to pinpoint the reason why
> it
> doesn't work with this and a couple of other watch lists.
> They all have data back to at least 2000. It is probably
> an
> easy fix or reason but I am stumped for the moment. Any
> pointers would be appreciated.
>
> 1.) numstocks = 5;
> 2.) EnableRotationalTrading();
> 3.) SetOption("MaxOpenPositions", numstocks );
> 4.) SetOption("WorstRankHeld", numstocks );
> 5.)
> 6.) PositionSize = -100/ numstocks;
> 7.)
> 8.) YearlyReturn = ROC( C, 252 );
> 9.)
> 10.) score = (1 / YearlyReturn)+1000; // lower return ->
> higher score
> 11.)
> 12.) BeginningOfTheYear = Year() != Ref( Year(), -1 );
> 13.)
> 14.) PositionScore = IIf( BeginningOfTheYear, score ,
> scoreNoRotate
>
> Regards,
>
> Duke Jones, CMT
>
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