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Duke, you could create clones(with add to composite) of each mutual fund and
tuck the
category number in one of the composite fields, probably open interest;
although mutual funds
have only one field and that means OHLV are also available. I've used this
technique
of building clones to store fundamental data and scores from prescoring
runs.
When processing that watchlist containing the 1390 clones, you can extract
the category
from the say, OI field.
You'd need a file(s) or a table assigning the category to the mutual fund
before you created the
clones.
I'm thinking you would score the entire group and pick five, one each out of
the top categories?
Best regards
Joe
----- Original Message -----
From: "Mark H" <amibroker@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, September 05, 2006 9:50 PM
Subject: Re: [amibroker] Restricting Duplicate Categories in Rotational
Trading
> This can be done with AmiBroker with some twists.
> 1. Use Groups to categorize the funds. A JScript can be used to assign
> Group.
> 2. Use CBT Rotational mode.
>
> ----- Original Message -----
> From: "Duke Jones, CMT" <Lists@xxxxxxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, September 05, 2006 8:56 PM
> Subject: [amibroker] Restricting Duplicate Categories in Rotational
> Trading
>
>
>>I have a project that I would like to tackle in Amibroker which is to
>> develop a rotational trading system for a fixed universe of mutual
>> funds. There are over 1390 funds classified into about 70+ categories. I
>> would like to import the categories into a field into Amibroker and then
>> be able to restrict the number in each category in the back/forward
>> tests. Therefore, if I have 5 max open positions no more than 1 small
>> cap funds or gold fund etc..
>>
>> Some of the ideas that come to mind are using one of fundamental text
>> fields and perhaps convert from string to a number per category and then
>> use that as the filter but I wasn't sure this would work in rotational
>> mode. If anyone has tackled this or has some suggestions on what did or
>> didn't work that would be great.
>>
>> -- Regards,
>>
>> Duke Jones, CMT
>>
>>
>> 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
>>
>>
>>
>>
>>
>>
>
>
>
> 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
>
>
>
>
>
>
>
>
Please note that this group is for discussion between users only.
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