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I tried to stay close to the example code in the documentation. And
leaving everything else at default. As a further explaination of the
issues I am having, here is the relevant portion of the code. Are
there any suggestions as to what I might be missing????
Buy = CondBuy1;
Sell = CondSell1;
//EnableRotationalTrading();
SetOption("InitialEquity",20000);
posqty = 2;
SetOption("MaxOpenPositions",posqty);
PositionSize = -100/posqty;
//SetOption("WorstRankHeld",20);
PositionScore = ROC(Close,15);
Min shares = 0.1
The summary report sometimes shows buying 2 positions, but sometimes
only 1. For example on 3/18/02, where it buys only VLE-I. This stays
true even when I make the Initial Equity 200,000.
Ticker Trade Date Price Ex. date Ex. Price % chg
Profit % Profit Shares Position value Cum. Profit
# bars Profit/bar MAE MFE Scale In/Out
DFSCX Long (127) 1/29/2001 7.77708 3/15/2001
7.01799 -9.76% -976.06 -9.76% 1285.83 10000.00 -
976.06 33 -29.58 -9.76% 1.10% 0/0
OTC-C Long (127) 1/29/2001 2838.34 3/15/2001
1940.71 -31.63% -3162.52 -31.63% 3.52319 10000.00
-4138.58 33 -95.83 -32.24% 0.00% 0/0
OTC-C Long (127) 5/3/2001 2146.2 7/12/2001
2075.74 -3.28% -260.37 -3.28% 3.69523 7930.71 -4398.94
49 -5.31 -8.55% 7.81% 0/0
JAVLX Long (127) 5/3/2001 46.3361 7/12/2001
41.1193 -11.26% -892.89 -11.26% 171.156 7930.71 -5291.84
49 -18.22 -13.07% 5.52% 0/0
OTC-C Long (127) 10/24/2001 1731.54 2/7/2002
1782.11 2.92% 214.78 2.92% 4.24713 7354.08 -5077.06
73 2.94 -3.70% 18.93% 0/0
VLE-I Long (127) 10/24/2001 1086.89 2/7/2002
1171.11 7.75% 569.85 7.75% 6.76617 7354.08 -4507.21
73 7.81 -1.77% 17.66% 0/0
***************Here is 3/18/02******************
VLE-I Long (127) 3/18/2002 1307.89 5/20/2002
1285.71 -1.70% -131.37 -1.70% 5.92282 7746.39 -4638.58
45 -2.92 -4.44% 1.77% 0/0
**************************************************
OTC-C Long (127) 9/17/2002 1259.94 9/18/2002
1252.13 -0.62% -47.61 -0.62% 6.09609 7680.71 -4686.19
2 -23.81 -0.62% 0.00% 0/0
OTC-C Long (127) 10/22/2002 1292.8 1/28/2003
1342.18 3.82% 292.46 3.82% 5.92273 7656.90 -4393.73
67 4.37 0.00% 15.09% 0/0
FDGFX Long (127) 4/7/2003 21.1921 8/11/2003
23.6167 11.44% 892.79 11.44% 368.21 7803.14 -3500.93
88 10.15 -1.58% 16.40% 0/0
TWCUX Long (127) 4/7/2003 21.695 8/11/2003
23.9724 10.50% 819.11 10.50% 359.674 7803.14 -2681.82
88 9.31 -1.47% 14.04% 0/0
The detailed report shows enough cash on 3/18/02 ($7746.39) to buy
the second ranked fund OTC-C where the price on 3/18/02 is 1877.
3/15/2002
Entry signals(score):
Exit signals:
0 Open Positions: , Equity: 15492.8, Cash: 15492.8
3/18/2002
Entry signals(score):VLE-I=Buy(9.32135), OTC-C=Buy(8.33614),
3GRW=Buy(7.47207), RISIX=Buy(7.38853),
Exit signals:
Enter Long, VLE-I, Price: 1307.89, Shares: 5.92282,
Commission: 0, Rank: 9.32135, Equity 15492.8, Margin Loan: 0, Fx
rate: 1
1 Open Positions: , VLE-I (+5.92282), Equity: 15492.8, Cash:
7746.39
3/19/2002
Entry signals(score):
Exit signals:
1 Open Positions: , VLE-I (+5.92282), Equity: 15526.1, Cash:
I am stumped on this one.
Thanks in advance for taking the time to review this and comment.
Bill
--- In amibroker@xxxxxxxxxxxxxxx, "emp62" <emp62@xxxx> wrote:
>
> assuming you have your settings right like Terry explains in some
cases it
> will not take all positions you expect it will. For instance if
the amount
> of $$ you allocate to 1 stock is less than (min. Shares setting) x
(Share
> Price). In this case it will not take a position in that stock and
it will
> skip all other positions it had to take on that day if they are
lower in
> rank to this position. So if GOOG is on the top of the rank and
you expect
> your system to enter 10 stocks then you might have a problem if
Min. Shares
> is set to e.g. 200,
>
> Ed
>
>
>
> ----- Original Message -----
> From: "billbarack" <wbarack@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, January 31, 2006 10:58 PM
> Subject: [amibroker] Portfolio trading
>
>
> >I am looking at the details of a simple portfolio trading system
that
> > has posqty = 2. At times, when a buy is signaled, it only buys
one
> > fund and leaves the second position is cash. My Positions score
os ROC
> > (Close,15).
> >
> > Any thoughts as to what may be happening? Why doesn't it buy the
> > second position?
> >
> > Bill
> >
> >
> >
> >
> >
> >
> > 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
> >
> >
> >
> >
> >
> >
>
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