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You need to understand how rotationaltrading works. In the help file under
ENABLEROTATIONALTRADING:
Rotational trading is popular method for trading mutual funds. It is also
known as fund-switching or scoring&ranking. Its basic permise is to rotate
symbols all the time so only top N issues ranked according to some
user-definable score are traded. The number of positions open depend on
"Max. open positions" setting and available funds / position size. Once
position is entered in remains in place until security's rank drops below
WorstRankHeld (settable via SetOption("WorstRankHeld", 5 ) ). Regular
buy/sell/short/cover signals are not used at all.
The rotational mode uses only score variable (PositionScore) to rank and
rotate securities. This idea has been implemented earlier in PortfolioTrader
AFL formula written by Fred Tonetti with GUI written by Dale Wingo.
In other words it does NOT use signals but stays in the market all the time.
As tickers with positionscore bubble to the top they replace the ones that
float to the bottom.
d
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of trader@xxxxxxxxxxxxxxx
> Sent: Sunday, June 11, 2006 1:39 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] How to backtest in rotational mode?
>
> All,
>
> I'm building a rotational trading system and can Explore
> groups of stocks using the PositionScore criteria. Good so
> far. But, if the securities are being "rotated" in the
> ranking, AMIBroker must be initiating long and short signals.
> I would like to see these long and short signals, but since
> rotation mode doesn't let you define Buy/Sell arrays, you
> can't Scan and that means no list of signals. Huh...
> Backtesting and Report generation won't work either. And
> without those Buy/Signals exposed, I can't Optimize either.
>
> To get around this, I thought of using rotation mode to do
> explorations and then use a separate trading system based on
> Buy/Sell signals in the usual way, but wouldn't I also have
> to fold in the rotation signals that AMIBroker is generating
> behind the scenes?
>
> And Optimization is still out of my control without Buy/Sell signals.
>
> So how should I backtest, optimize and view the list of
> trading signals that result from rotational trading?
>
> -- John
>
>
>
>
>
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