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I am experimenting with a very simple rotation system as below.
My goal is to develop it into a weekly only system. I run it once a
week, it runs on weekly data and does the stock rotation, if
necessary, on a weekly basis at the most.
I expect the system to generate trades on the same day of the week,
and not on other weekdays. For example, if I set it to run on weekend,
any new trades are always executed on Monday (buys and sells) and not
other weekdays.
It would be best to allow for trade executions on any weekdays, but
Friday run, Monday execution is good enough.
However, when I started from the simplest one I can get, I got stumped.
With a simple system like this, comparing the results with
TimeFrameSet( inWeekly ) ON or OFF, I got completely different
results, as you can see I do not even use any of the OHLC series to
rank the system.
Also the trades do not seem to be always executed on the same weekday
at all, even with the settradedealy(), I was not able to explain it.
I then ran the Explore to find the Rank and Rank1 gives completely
different results when both TimeFrameXXXX are used at the same time.
Ultimately, if someone can provide a framework for a weekly only
rotation system as I described above, very much appreciated.
Please help...
Thanks
Thomas
//----------------------------------------------------------------------------
EnableRotationalTrading();
SetTradeDelays( 1, 1, 1, 1 );
//----------------------------------------------------------------------------
SetOption("WorstRankHeld", 30);
SetOption("MaxOpenPositions", 10);
SetOption("Initialequity", 50000);
SetOption("MinShares", 1);
SetOption("CommissionMode", 1); // % per trade
SetOption("CommissionAmount", 0.5); // 0.5% per trade to
account for slippage
SetOption("AllowPositionShrinking", True);
//----------------------------------------------------------------------------
WeeklyClose = TimeFrameGetPrice("C", inWeekly, -1); // Use only LAST
week's data to test
Rank = Nz(ROC(WeeklyClose, 4));
TimeFrameSet( inWeekly); // <---- Add / remove causes hugh difference
Rank1 = Nz(ROC(C, 4));
//----------------------------------------------------------------------------
PositionSize = -10;
PositionScore = 100 + Rank;
//
--------------------------------------------------------------------------------
// Explore
//
--------------------------------------------------------------------------------
Filter = C > 0;
AddColumn(WeeklyClose, "Weekly Close", 1.4, colorBlack);
AddColumn(Ref(WeeklyClose, -1), "Weekly Close(-1)", 1.4, colorBlack);
AddColumn(Close, "Close", 1.4, colorBlack);
AddColumn(Ref(Close, -1), "Close(-1)", 1.4, colorBlack);
AddColumn(Rank, "Rank", 1.4, IIf(Rank > 0, colorBlack, colorRed));
AddColumn(Rank1, "Rank1", 1.4, IIf(Rank > 0, colorBlack, colorRed));
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