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Thanks Paul,
And yep, tried VarSet as well, SetForeign, looping and assigning via
Status("stocknum"), you name it.
TJ did point out previously that CBT runs AFTER scanning all symbols,
and then only runs with ~~~EQUITY as a ticker. This seems to be the
problem that I cannot escape from. If so, then I feel it deserves a
solution, thus my planned request if there is none.
PS
--- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxx> wrote:
>
> So...... you cant change it to suit your need
> have you tried the if.......
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of vlanschot
> Sent: Wednesday, 11 April 2007 9:12 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Dynamic rebalancing of existing portfolio
weights
>
>
>
> 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@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com,
> Graham <kavemanperth@> wrote:
> >
> > see the AB Devlog for example on balancinig open positions
> > http://www.amibroke
> <http://www.amibroker.com/kb/2006/03/06/re-balancing-open-
positions/>
> r.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.aflwriti <http://www.aflwriting.com> ng.com
> >
> >
> > On 11/04/07, vlanschot <vlanschot@> 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.amibroke <http://www.amibroker.com/devlog/>
r.com/devlog/
> > >
> > > For other support material please check also:
> > > http://www.amibroke <http://www.amibroker.com/support.html>
> r.com/support.html
> > >
> > > Yahoo! Groups Links
> > >
> > >
> > >
> > >
> >
>
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