|
PureBytes Links
Trading Reference Links
|
Ha - yeah I hear you - I was actually working on the example when you
posted the code. The issue with your example (mine is still not
working) is that it has entries long or short, that are not on the
first trading day of the month.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> 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@xxx>
> 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@> 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@>
> >> 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!
> >> >
> >> >
> >> >
> >
========================================================================
> >> > Groups related to amibroker
> >> >
> >
========================================================================
> >> >
> >> > equismetastock (734 common members)
> >> >
> >
http://groups.yahoo.com/group/equismetastock?v=1&t=ipt&ch=email&pub=groups&slk=aftr0&sec=recg
> >
> >> > Investments/General: Established January 15, 1999 this site is
> > open to ...
> >> >
> >> > TWSAPI (656 common members)
> >> >
> >
http://groups.yahoo.com/group/TWSAPI?v=1&t=ipt&ch=email&pub=groups&slk=aftr1&sec=recg
> >
> >> > Investments/Software: Not affiliated with Interactive Brokers
> > Interactiv...
> >> >
> >> > bse-nse2005 (485 common members)
> >> >
> >
http://groups.yahoo.com/group/bse-nse2005?v=1&t=ipt&ch=email&pub=groups&slk=aftr2&sec=recg
> >
> >> > Investments/Online Investing and Trading: We now have our very own
> > website - www.desitraderm...
> >> >
> >> > e-mini_traders_anon (364 common members)
> >> >
> >
http://groups.yahoo.com/group/e-mini_traders_anon?v=1&t=ipt&ch=email&pub=groups&slk=aftr3&sec=recg
> >
> >> > Investments/Daytrading: The spirit of this group is traders
> > helping trader...
> >> >
> >> > quotes-plus (334 common members)
> >> >
> >
http://groups.yahoo.com/group/quotes-plus?v=1&t=ipt&ch=email&pub=groups&slk=aftr4&sec=recg
> >
> >> > Investments/Software: This group is for Quotes Plus customers.
> > Others ar...
> >> >
> >> >
> >> > ------------------------------------
> >> >
> >> > 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
> > 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
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|