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Hello,
Not true - if you set positionscore to ZERO - then it means do NOT
open position for that ticker. You can also use scoreNoRotate - to
stop rotation (entering new positions) on all symbols.
This is documented in the EnableRotationalTrading function docs.
WorstRankHeld works so that if you already entered position in the
past then it will NOT be exited UNTIL given symbol rank drops below
WorstRankHeld (ordinal position in a table sorted by absolute value
of PositionSocre)
For example if MaxOpenPositions is 10 and WorstRankHeld is 20
the trade will be open if stock ranks in TOP TEN and then this
position will be kept UNTIL stock rank drops below 20.
Note that WorstRankHeld MUST be greater or equal then
MaxOpenPositions. If you specify that WorstRankHeld is less than
MaxOpenPositions it will use WorstRankHeld = MaxOpenPositions anyway.
And last thing is that values of PositionScore do not need to be
inside any specific range.
Regards,
Tomasz Janeczko
amibroker.com
--- In amibroker@xxxxxxxxxxxxxxx, "MailYahoo" <MailYahoo@xxx> wrote:
>
> Another issue that I think is with Rotational trading is that is
always
> wants to be in a position no matter what
>
>
>
>
>
> Mark
>
>
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of msc626
> Sent: Friday, June 23, 2006 5:08 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Question about rotational mode trading...
>
>
>
> My understanding is that it is based upon your Positionscore = xxx
> statement :
> Positionscore = ROC(C,10); // for example
> posqty = 1;
> SetOption("WorstRankHeld",3);
> SetOption("MaxOpenPositions",posqty);
> Positionsize = -100/posqty;
>
> The stocks you are trading are ranked by their score.
> The #1 stock on the list is purchased and held until its
positionscore
> rank is below #3. Then the #1 stock on the list according to ROC
(C,10)
> is purchased.
> Pretty straightforward.
>
> The only caveat is that Positionscore returns the _absolute
value_, so
> a score of -100 is greater than a score of 90. Unless you really
want
> to do this, do something like
> score = ROC(C,10);
> Positonscore = score + 1000; //OR
> score = ROC(C,10);
> positonscore = IIf(score > 0, score, 0 );
> This will insure that negative scores are lower ranked.
>
> dale b
>
> > All,
> >
> > I believe I fully understand the procedure that Tomasz is using
to
> > implement rotational trading,except for one detail described in
the
> online guide...
> >
> > "Exits are generated automatically when security's rank drops
below
> 'worst
> > rank held'"
> > http://www.amibroke
> <http://www.amibroker.com/guide/afl/afl_view.php?
enablerotationaltrading>
> r.com/guide/afl/afl_view.php?enablerotationaltrading
> >
> > This is a vague statement as it does not mention any specific
units of
> > measure. Is WorstRankHeldmeasured in percentile ranking of the
> PositionScores? Is there a
> > constraint that Position Scores mustbe in a specific range (-
100 - 100)?
> >
> > Can anyone give me a specific example to clarify this point?
> >
> > -- John
> >
>
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