[amibroker] Dynamic rebalancing of existing portfolio weights

["vlanschot" <vlanschot@xxxxxxxxx>]

Hello,

Before I submit my request to the Feedback centre, I was wondering 
whether anybody has been able to include dynamic (weight/holdings) 
rebalancing in their code, whereby stock-specific arrays (as 
in "relative weights") are referred to for the rebalancing. 

In other words, PositionSize can be an array, but it does not allow 
you to rebalance your existing portfolio-weights once you've entered 
a position (i.e. they only determine entry positions). It turns out, 
as far as I know now, that even in the CBT (advanced backtester) you 
cannot refer to stock-specific arrays to rebalance (only static 
amounts). I've tried it in the rotational mode, and could not get it 
working.

The idea is fairly simple: I want to overweight by x% the relative 
weights (in some broad index) of my top quartile, underweight by x% 
the relative weight of my bottom quartile, and keep the rest equal to 
their respective relative weights. These type of "dynamic 
rebalancing" strategies are quite common.

Correct me if I'm wrong, but the SetPositionSize(size, method) is 
neither suited for this purpose (and in any case, I prefer the CBT 
because it allows me to define my own trade-stats).

Thanks for any help.

PS



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