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Hello,
Taking the example and modifying it to fit your requirements is just a matter
of minutes ! Don't be lazy.
EnableRotationalTrading();
EachPosPercent = 5;
PositionScore = ROC( C, 20 );
PositionSize = -EachPosPercent;
SetOption("WorstRankHeld", 40 );
SetOption("MaxOpenPositions", 20 );
SetOption("UseCustomBacktestProc", True );
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess(); // Initialize backtester
mo = Month();
monthchange = mo != Ref( mo, -1 );
for(bar=0; bar < BarCount; bar++)
{
bo.ProcessTradeSignals( bar );
if( monthchange[ bar ] )
{
CurEquity = bo.Equity;
for( pos = bo.GetFirstOpenPos(); pos; pos = bo.GetNextOpenPos() )
{
posval = pos.GetPositionValue();
diff = posval - 0.01 * EachPosPercent * CurEquity;
price = pos.GetPrice( bar, "O" );
// rebalance only if difference between desired and
// current position value is greater than 0.5% of equity
// and greater than price of single share
if( diff != 0 AND
abs( diff ) > 0.005 * CurEquity AND
abs( diff ) > price )
{
bo.ScaleTrade( bar, pos.Symbol, diff < 0, price, abs( diff ) );
}
}
}
}
bo.PostProcess(); // Finalize backtester
}
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "droskill" <droskill@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, March 15, 2008 10:34 PM
Subject: [amibroker] Re: Portfolio rotation
> This example shows rebalancing to a fixed % at any time - is there an
> example that shows rebalancing on a specific day - I'm trying to
> rebalance on a first trading day of the week or month.
>
> Any help greatly appreciated Tomasz!
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>>
>> Yes you can and there is an example code posted:
>> http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions/
>>
>>
>> Best regards,
>> Tomasz Janeczko
>> amibroker.com
>> ----- Original Message -----
>> From: "droskill" <droskill@xxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent: Saturday, March 15, 2008 5:34 PM
>> Subject: [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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>> > ------------------------------------
>> >
>> > Please note that this group is for discussion between users only.
>> >
>> > To get support from AmiBroker please send an e-mail directly to
>> > SUPPORT {at} amibroker.com
>> >
>> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> > http://www.amibroker.com/devlog/
>> >
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>>
>
>
>
> ------------------------------------
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
> Yahoo! Groups Links
>
>
>
------------------------------------
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
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