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Looks to me like I'll have to use the traditional portfolio. I'll
have to:
1. Determine if it is the first _trading_ day of the week or month
(depending on my rebalancing frequency) - I have no idea how to do
this - determining the first day of the week/month is easy - but how
do I keep track of holidays - or rather, how do I determine the first
trading day of a week or month?
2. Then I need an entry criteria (and an exit criteria) - this I'm
also unsure of how to do. After all, I don't really have an entry
criteria - all I want to do is buy the top N% of a list based on some
ranking criteria, and sell those that have fallen out of the list.
The advantage of this approach would be to be able to add other
factors. So, I could say that any individual stock would have to be
over a 200 day moving average - or any other criteria.
Thoughts appreciated on this - I'd love to be able to crack this.
--- 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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