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Contrary to my earlier mail, this can be done. So please ignore my
previous mail, as well as earlier mails on dynamic rebalancing.
For those interested, I've found the way to code this. Part of my
problem was related to the use of the ThCSV plug-in. You need to
recode any arrays again within the CBT.
As TJ has always argued: the CBT allows you to do almost anything.
Sorry to have waisted your time with this.
PS
--- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@xxx> wrote:
>
> Hi Herman,
>
> It is always interesting to read how others use the CBT, and like
> you, I've played around with using (Static)VarSet, etc. within CBT
>
> Don't know if you saw my earlier e-mails of a few days ago re
dynamic
> rebalancing. Basically, due to mandates, I need to assess my risks
on
> both an absolute and a relative basis. The latter means I want to
be
> long all constituents of my benchmark, but then take "active bets"
by
> underweighting or overweighting my positions versus the official
> relative weights in the benchmark. So, I have my scores (which are
> not complicated) and want to enter all of them as trades, in the
> sense of rebalancing trades (i.e. scale-in/out) depending on the
> score.
>
> For that purpose I tried indeed to use VarSet, as well as
> StaticVarSet to define WITHIN the CBT my relative weights referring
> to "external" arrays for benchmark weights which I then tweak to
> STOCK-SPECIFIC arrays of active weights. The difference between the
> latter and the "current PosValue" then becomes the amount to
> ScaleIn/Out. It turns out, or at least that is my conclusion, that
> you cannot do this in CBT.
>
> In summary, you can dynamically rebalance your portfolio by way of
> PositionScore, but not by PositionSize, because this only refers to
> the entry-date of a trade, not the intermediate sizes.
>
> If you (or anybody else dealing with these issues) have any
thoughts,
> or even better a solution, on this, please let me know.
>
> Sorry if this turns out to be too much OT, but I'm desperate for a
> solution to what seems to me an obvious trading strategy.
>
> PS
>
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