|
PureBytes Links
Trading Reference Links
|
I'm using 3 funds - TEDMX, MASPX RYURX for my example. Date range
last 1000 days. Not sure from your response if that was what your
comment was getting at. Please ask again if this is not enough
information.
Thanks
Larry
--- In amibroker@xxxxxxxxxxxxxxx, "kmmasoud" <kmmasoud@xxxx> wrote:
>
> Thanks
> When I paste it ... i didn't get any date or line .. ;blank= 0
>
> -----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
>
>
>
>
>
>
>
> 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
>
------------------------ Yahoo! Groups Sponsor --------------------~-->
Try Online Currency Trading with GFT. Free 50K Demo. Trade
24 Hours. Commission-Free.
http://us.click.yahoo.com/RvFikB/9M2KAA/U1CZAA/GHeqlB/TM
--------------------------------------------------------------------~->
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|