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Seems to me that you should take out the rotational trading stuff and do it
your self in the CBT. That's what you're trying to do anyway.
d
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of vlanschot
> Sent: Friday, May 04, 2007 10:44 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: CBT: Scaled trades
>
> Paul, appreciate the feedback, but that's exactly where the
> difficulty is. See below.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxx> wrote:
> >
> > 1. Cash is a property of the backtester
> > so bo.Cash gives you the available cash at each bar;
>
> I understand. This is the cash available at the end (start) of the
> (next) bar. Say my scaling takes place at bar 2, assuming I get my
> signals on the close of bar 1.
>
> > 2. posize and poscore are properties of the signal object.
> > if you want to you can do all your selling/scaleout first, and use
> the
> > available cash to do what you need.
>
> With CBT & Rotational (see TJ's original code @
> http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions/),
>
> I cannot get to the amount of cash generated by the ScaleOut-trades,
> let alone allocate cash over the subsequent ScaleIn trades since
> signal.Type cannot specify between the two. Also, the possize and
> posscore in the rebalancing are different from those used for the
> entry/exit trades, i.e. I have defined them within the pos =
> GetFirstOpenPos loop.
>
> > and use the bo.EntrerTrade or bo.ScaleTrade to do what you need.
>
> My conclusion, and I hope I'm wrong: bo.ScaleTrade in rotational mode
> cannot be ranked/get trade-specific cash allocations in case one uses
> rebalancing criteria within the OpenPositions-list.
>
> This strategy may sounds complicated, but isn't. As I've written
> elsewhere, I simply want to hold all constituents of an index all the
> time, but reweight (e.g. monthly) the positions based on stock-
> specific arrays, 1 being my score, and the second the official
> relative weight of the stock in the index, both of which obviously
> change over time.
>
> PS
>
> >
> >
> > _____
> >
> > From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
> On Behalf
> > Of vlanschot
> > Sent: Thursday, 3 May 2007 11:00 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: CBT: Scaled trades
> >
> >
> >
> > Thanks mate, but forgot to mention: I use rotational mode in CBT
> > which seems to complicate matters due to the fact that scaling is
> > triggered by stock-specific variables (arrays) which relate to both
> > (current vs. required) PositionSize and (previous vs. new)
> > PositionScore.
> > I have been unable to determine:
> > 1) how much cash is available for all ScaleIns at each bar
> > 2) how to allocate this cash according to a specific "ScaleIn"-rule.
> >
> > Support question, I suspect.
> >
> > PS
> >
> > --- In amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> ps.com,
> > "Paul Ho" <paultsho@> wrote:
> > >
> > > Mate
> > > If you're using CBT, you can program the way you want it
> > > just put scaleout before the others, they will be executed
> first ;)
> > >
> > >
> > > _____
> > >
> > > From: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> ps.com
> > [mailto:amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> ps.com]
> > On Behalf
> > > Of vlanschot
> > > Sent: Thursday, 3 May 2007 9:01 PM
> > > To: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> ps.com
> > > Subject: [amibroker] CBT: Scaled trades
> > >
> > >
> > >
> > > Could anybody possibly confirm whether ScaleOut trades are
> executed
> > > FIRST, in order to release cash for the subsequent ScaleIn trades?
> > >
> > > And if so, is the only way to calculate the resulting amount of
> > cash
> > > available for the ScaleIn-trades to add (PosSize - Exit
> > Commissions) of
> > > each ScaleOut to the bo.Cash of the previous bar?
> > >
> > > Thx,
> > >
> > > PS
> > >
> >
>
>
>
>
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