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Thank you Bruce,
The Rotatational mode might do the job, i hadn't thought of that.
herman
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Wednesday, March 5, 2008, 12:21:34 PM, you wrote:
> Couple of ways to do this - just note that -
> 1. RotationalMode( period ) -> WalkForward approach
> IOW, a periodic rotation, say when -
> upi = ...
> EnableRotationalTrading();
> PositionScore = IIf( DayOfWeek() < Ref( DayOfWeek(), -1 ), upi,
> scoreNoRotate);
> This inherently a walk forward using the UPI on the first day of the
> week to decide what to hold going forward.
> 2. New walk-forward facility
> You might want to do it with the walk-forward facility if you wanted
> to optimize the UPI calculation parameters. But let's say you had no
> optimizable parameters, you could use the new walk-forward facility
> with a dummy variable, say -
> dummy = Optimize( "dummy", 1, 1, 1, 1 );
> (But, IMO, there may be a couple of boundary conditions questions that
> need to be addressed in the walk-forward function before this will do
> what I think you are after.)
> -- Bruce
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