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Ron - thanks - that's much simpler - appreciate your help.
Question - the Ref(Day(),1) portion of the IIF - is that referencing
the day before or the day after?
--- In amibroker@xxxxxxxxxxxxxxx, "Ron Rowland" <rowland@xxx> wrote:
>
> I'm sorry I didn't see this thread earlier. I have a simple two line
> approach to this problem:
>
> LastDayOfMonth = IIf(Day() > Ref(Day(),1),1,0);
> PositionScore = IIf(LastDayOfMonth, PositionScore, scoreNoRotate);
>
> I also have trade delays set for one day. Using the above then
> allows all securities to be analyzed with daily data on the last day
> of the month with the trade taking place on the first day of the
> following month.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@> wrote:
> >
> > 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@> 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@>
> > > 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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> > > >
> > > >
> > > >
> > >
> >
>
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