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see the AB Devlog for example on balancinig open positions
http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions/
--
Cheers
Graham
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Yes, I write AFL code to your requirements
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On 11/04/07, vlanschot <vlanschot@xxxxxxxxx> wrote:
> 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
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
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> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
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>
Please note that this group is for discussion between users only.
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For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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For other support material please check also:
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