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Perhaps somebody has a straightforward way to solve the following, or
point out the error in my interpretation of AFL/CBT:
My system keeps a constant number of 50 positions, based on a ranking
(although I do not use rotational trading.) At the start the
positions are equally weighted, i.e. PositionSize is defined as 2%.
As time moves on, some do very well, and reach, say, a weight of 3%
of equity. When the exit signal arrives, these positions are replaced
by new ones, but now back to the 2% of equity as defined in
PositionSize.
The resulting problem is that at times I find I have too much cash
left. Now, I know that I can rebalance open positions (by scaling
in/out, for example via TJ's code
http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions/).
However, apart from the extra costs involved, I have found that there
is no way to determine/access the amount of cash BEFORE
entering/rebalancing the new positions. In other words, bo.Cash gives
you the amount of cash "at the end of the bar". You can, of course,
use the amount of cash of the previous bar, but you keep lagging the
actual trades.
In short, I would like to force the backtester to always make the
system fully invested (except for round lots, etc.) It would be
great, for example, if there would be an option to automatically
assign the amount of cash which becomes available from the first
exited trade to the first new trade, etc. In my system this is very
applicable, as I always have other trades to replace the exited one.
Any thoughts/suggestions welcome. If none, I'll forward this to
support.
Thx.
PS
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