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-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of onelkm
Sent: 25 November, 2005 7:47 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Portfolio ranking problem -
I am trying to develop a portfolio ranking system. Here is a simple
system to illustrate my question:
SetOption("NoDefaultColumns",0);
SetOption("InitialEquity",250000);
SetOption("AllowSameBarExit",0);
SetOption("ActivateStopsImmediately",0);
SetOption("AllowPositionShrinking",1);
SetOption("FuturesMode",0);
SetOption("InterestRate",0);
SetOption("MaxOpenPositions",1000);
SetOption("MinShares",.001);
SetOption("PriceBoundChecking",1) ;
SetOption("CommissionMode",1);
SetOption("CommissionAmount",0);
SetOption("MarginRequirement",100);
SetOption("ReverseSignalForcesExit",0);
SetOption("UsePrevBarEquityForPosSizing",1);
SetTradeDelays(0,0,0,0);
pos = Param("pos", 1, 1, 4, 1);
SetOption("MaxOpenPositions", pos );
per1 = Optimize("per1", 3, 2, 10, 1);
per3 = Optimize("per3", 33, 1, 90, 1);
amt2 = Optimize("amt2", 0.013, 0.01, 0.3, 0.001);
Buy = ROC(C,per1)> amt2 ;
Sell = 0;
trail = Optimize("trail", 1.4, 0.5, 6, 0.1);
ApplyStop( stopTypeTrailing, stopModePercent, trail);
PositionSize = -100/pos;
PositionScore = 10000+ ROC(C,per3) ;
Filter=1;
AddColumn(Buy,"buy",1.0);
AddColumn(Sell,"sell",1.0);
AddColumn(ROC(C,per3),"buy the highest of this column",1.1);
Using this example, when a fund sells, the next fund purchased should
be selected from all the funds that are on a buy with the highest
position score. What actually happens is, the fund purchased after a
sell is the fund that changes from a sell to a buy. A fund that is
already on a buy with a higher position score is not selected if it
went on a buy prior to the sell. So, for example, if three funds have
positions scores and buy / sell states of:
Fund positionscore Buy/Sell
A 1.0 Sell (went to a sell today)
B 1.5 Buy (went to a buy today)
C 2.0 Buy (went to a buy several days ago)
When Fund A goes on a sell, the next fund purchased is not
necessarily fund C, which has the highest position score. The fund
selected is the fund that next changes from a sell to a buy, which is
B in this example; but fund C should have been selected.
Is there a way to have the system select from all the funds that are
on a buy, not just the ones that have most recently changed from a
sell to a buy? I suspect the answer is simple, but I am stumped on
this one! I've tried applying "Flip" and/or "Exrem" functions without
success.
Thanks in advance
Larry
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