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Many thanks for your help. What sort of value would you use for
WorstRankHeld with a set up like this?
Actually, I am not entirely clear as to how Rotational trading uses
WorstRankHeld. I originally assumed that rotational trading would
sell a stock as soon as (1) it is no longer a top ranking stock -OR-
(2) it's PositionScore drops below WorstRankHeld.
But from the way I read the helpfile, it sounds like each stock is
held until its PositionScore drops below WorstRankHeld, at which time
a new top stock is selected according to PositionScore. The second
way is probably inferior to the first unless you are very careful
about your WorstRankHeld settings.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Hello,
>
> http://www.amibroker.com/f?enablerotationaltrading
>
>
> Assuming that your criteria give values from -100 to 100:
>
> CriterionA =..
> CriterionB =
> CriterionC
>
> PositionScore = CriterionA * 10000 + CriterionB * 100 + CriterionC;
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "trustdnb" <trustdnb@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Saturday, September 01, 2007 7:56 PM
> Subject: [amibroker] Is Portfolio Trader AFL still available somewhere?
>
>
> > Is the Portfolio Trader AFL somewhere? I don't see it under the Files
> > section? I am trying to develop a rotational trading system that I
> > dont believe can be accomplished with PositionScore.
> >
> > Essentially, I am trying to develop a rotational trading system that
> > involves ranking candidates along several criteria.
> >
> > Essentially I want to take:
> >
> > The Top 20 stocks according to criteria A, then
> > The Top 10 stocks from the above group according to criteria B,
> > Finally, The Top 5 stocks from the above group according to
criteria C.
> >
> > I can easily do this type of screening via an exploration to identify
> > new trades, but I don't believe I can backtest it because
> > PositionScore can only be used once.
> >
> >
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