Re: [amibroker] Rotational Trading

["Joe Landry" <jelandry@xxxxxxxxxxxxx>]

Fred.. Not discounting what David just wrote but on a general basis and you should check me on this...

 I think if your score is negative you will end up shorting that position.  So some folks add a large number

to displace the score toward a positive range, like adding 1000 to the score,  so it never

becomes negative but will still represents whether that score for that equity was higher or lower. 

 

Hope this helps

JOE

----- Original Message -----

From: david

To: amibroker@xxxxxxxxxxxxxxx

Sent: Wednesday, April 26, 2006 8:48 AM

Subject: RE: [amibroker] Rotational Trading

In regards to question 2, perhaps,

PositionScore      = (ROC(C,200)/ATR(200))* (MA(V,20)>500000);

as MA(V,20)>500000 will give a binary result which should provide you with
the required filter.

Regards

Dave




-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of fesch92126
Sent: Tuesday, 25 April 2006 7:10 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Rotational Trading

I'm a new Amibroker user and have a few naiive questions about the
EnableRotationalTrading() function if someone has the patience to
respond. 

I employed the simple code below on the components of the Nasdaq 100
from 1/1/2003 to 12/31/04 going LONG only (as specified
under "Settings" in the Backtester)on a Daily timeframe:

EnableRotationalTrading();
SetOption("WorstRankHeld",5);
PositionScore      = ROC(C,200)/ATR(200);
SetPositionSize(20,spsPercentOfEquity);

I obtained 14 trades, 4 of which were Shorts.

Question No. 1:  If I specifically asked for Longs only in the AA,
why did I see the 4 Short trades?  How do I avoid this in the future?

Question No. 2:  Is it possible to specify other entry criteria, eg,
MA(V,20)>500000, in addition to the PositionScore and SetOption
(WorstRankHeld) criteria when employing the EnableRotationalTrading
() function?  If so, how would one do this?

Thanks for any and all input.

With kind regards,

Fred











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