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That's an interesting solution - it creates one problem. When you
have an exit, say, mid-week, then you have a gap in investment. So,
if I rebalance on Monday, then there's an exit generated on Wednesday.
Then, you don't have a new trade until next Monday. In the worst
case, you can actually skip an entire week.
But I really appreciate the thoughts. Seems to me that this should be
a built-in option with the rotation portfolio because it is so common
to try, say, running every day or running every week or every month.
--- In amibroker@xxxxxxxxxxxxxxx, pointsmax@xxx wrote:
>
> I'm not sure you can do what you want to do in rotation mode.
> but maybe try to limit tradedays in positionsize (cause you aren't
able to set any buyconditon in rotational trading):
>
> positionsize = iif(dayofweek()=1,-100,0);
>
> only at mondays positionsize is 100% of equity, else 0%.
>
>
> ----- Ursprüngliche Mail ----
> Von: droskill <droskill@xxx>
> An: amibroker@xxxxxxxxxxxxxxx
> Gesendet: Samstag, den 15. März 2008, 19:01:52 Uhr
> Betreff: [amibroker] Re: Portfolio rotation
>
> Thanks - that's great. But what if I want the
rebalance to happen on
> first day of the week or the first day of the month? In other words,
> that option will hold a position for N number days, but it may fall in
> the middle of the month or whenever.
>
> --- In amibroker@xxxxxxxxx ps.com, pointsmax@ . wrote:
> >
> > Hi,
> >
> > try this:
> >
> > SetOption("HoldMinB ars",5);
> >
> > Steve
> >
> >
> > ----- Urspr�¼ngliche Mail ----
> > Von: droskill <droskill@ .>
> > An: amibroker@xxxxxxxxx ps.com
> > Gesendet: Samstag, den 15. M�¤rz 2008, 17:34:19 Uhr
> > Betreff: [amibroker] Portfolio rotation
> >
> > Hey all - I've been looking at the automatic
> portfolio rotation
> > feature of AB, and I had a question - if I want to control the time
> > element of the rotation, would I have to use the regular backtester?
> >
> > In other words, let's imagine that instead of rebalancing "on-demand"
> > - let's imagine that I want to only rebalance once per week or once
> > per month - can I do this with the rotational portfolio?
> >
> > Thanks!
> >
> >
> >
> >
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