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try asking Ab support directly about this
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Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm
On 13/06/06, John Nelson <trader@xxxxxxxxxxxxxxx> wrote:
>
> Hey dingo,
> I do understand all this, although it appears that rotational mode is
> performing *some* kind of trading "behind the scenes" because it maintains
> position sizes of the ranked securities. Check out this URL from the
> AmiBroker online reference which alludes to backtesting and initiation of
> entries and exits...
>
>
> http://www.amibroker.com/guide/afl/afl_view.php?name=enablerotationaltrading
>
> If rotational ranking dissallows Optimization, how am I to know what would
> make an optimal "worstrank" value? Or optimal settings for my scoring
> criteria? Maybe I can create a conventional trading strategy to optimize
> these signals and the plug those numbers into a rotational scoring formula.
> A possibility but I'd feel better if I could optimize within rotational mode
> directly.
>
> Currently I use Status("action") to separate rotational
> trading Exportations from normal trading signals, which turns Exploration
> into a very course grain pre-filter. After determining the rotation
> candidates I rely on Buy/Sell signals in Backtesting and Indicator modes to
> generate more fine grain trading signals. These can be optimized too.
>
> But not my scoring algorithm.
>
> -- John
>
> On Jun 11, 2006, at 10:55 AM, dingo wrote:
>
>
> 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 <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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