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@xxxxxxxxxps.com,
Graham <kavemanperth@...> 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@x..>
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
> >
> >
>
>
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only.
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