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Howard,
If you read this - first can I say thanks for the book (QTS) which
I'm glued to and really enjoying.
I'm an inexperienced AB user so pardon any silliness.
I'm trying to optimise / backtest your rotational trading model
(listed at fig 17.1 but actually 15.1) and in doing so, I get the
same result for every optimisation step - a RAR of about 10.5%.
Clearly something's wrong - can you make any suiggestions?
Also, with this type of model - there are no buy and sell signals
(are there?) - If so, does the system rebase itself on a daily
basis - ie buy / sell the highest / lowest ranking issues each day
(and keep them if there's no change in the order)?
Thanks for any help.
Rich
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