[amibroker] Rotational Strategy

["dmcleod1981" <dmcleod1981@xxxxxxxxx>]

I was watching CNBC yesterday and John Stoval was talking about the
following strategy so I tried my hand at coding it up in Amibroker.
However, I am stumped about in trying to do the annual rotation each
February. 

Any guidance and code pointers would be certainly appreciated.

Here is what I have so far:

/*John Stovall strategy from CNBC interview which accoring to him 
outperforms the S&P 500 over 75% of the time. Picks the best 10
performing industry groups from the end of January and establishes
equal weighted positions for the rest of the year rotating next
February.*/

numgroups = 10;
EnableRotationalTrading();
SetOption("MaxOpenPositions", numgroups );
SetOption("WorstRankHeld", numgroups );
 
PositionSize = -100/ numgroups;

Rank  = Month()==1 AND (ROC( C, 20 )+1000);
SignalMonth = (Month() == 2  AND Day() < 3); // buy in February  
Rank  = Month()==1 AND (ROC( C, 20 )+1000);
 
score = Rank AND SignalMonth; // 
 
BeginningOfTheYear = Year() != Ref( Year(), -1 );
 
PositionScore = IIf( BeginningOfTheYear, score , scoreNoRotate );

Thanks

Dave





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