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Thanks Graham, but I'm familiar with this code since Tomasz was kind
enough to write it at my request. The problem is, as you can see in
the code, that the variable with which this code rebalances is a
FIXED number, i.e. EachPosPerc = 5. And there is where the limitation
is: I'd like this to be a stock-specific vector/array.
Again thanks for the suggestion, but I suspect I need to raise this
as a request.
PS
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxx> wrote:
>
> see the AB Devlog for example on balancinig open positions
> http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions/
>
> --
> Cheers
> Graham
> AB-Write >< Professional AFL Writing Service
> Yes, I write AFL code to your requirements
> http://www.aflwriting.com
>
>
> On 11/04/07, vlanschot <vlanschot@xxx> 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
> > SUPPORT {at} amibroker.com
> >
> > 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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