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In the interest of the group which has been so helpful, I'm posting
the code change that worked - that makes the rotation happen only on
the first trading day of the month - comments/critique welcome.
EnableRotationalTrading();
EachPosPercent = 25;
PositionScore = 1000 + ROC (C, 20);
PositionSize = -EachPosPercent;
SetOption("WorstRankHeld", 4 );
SetOption("MaxOpenPositions", 4 );
SetOption("UseCustomBacktestProc", True );
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess(); // Initialize backtester
mo = Month();
dy = Day();
monthchange = mo != Ref( mo, -1 );
for(bar=0; bar < BarCount; bar++)
{
if ( monthchange[ bar ] AND dy[ bar ] < 3 )
{
bo.ProcessTradeSignals( bar );
}
if( monthchange[ bar ] AND dy[ bar ] < 3 )
{
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
}}
--- 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!
> >> >
> >> >
> >> >
> >
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> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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>
------------------------------------
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SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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For other support material please check also:
http://www.amibroker.com/support.html
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