[amibroker] Re: exposure % with rotationaltrading

["Ed Hoopes" <reefbreak_sd@xxxxxxxxx>]

With rotational trading turned on, if your ranking value is equal to
zero, the position will be exited on the next bar, and there may be no
new stocks that meet the entry criteria - so you have a cash position.

When I want long-only rotational trading, I set all stocks with a
negative rank to a rank of zero.

PositionScore = IIF(PScore < 0, 0.00, PScore);

If I want to do RT with market timing, I do the following:

ScoreVal =  IIf(HEMI > 1.00 AND StatHi > StatLo , PScore , IIf(PScore
> 0, PScore, 0.00 )) ;

Here I check my market timing indicator HEMI and a second statistical
timing indicator for favorable overall market conditions, then I only
accept stocks with a positive PScore for RT.

Ed



--- In amibroker@xxxxxxxxxxxxxxx, "David Fitch" <davidfitch@xxx> wrote:
>
> Try something like this
> PosQty=Optimize("PositionQuantity",4,1,20,1);    or whatever you want
> PositionSize= -100/PosQty;
> setOpition("MaxOpenPositions",PosQty);
> 
> Dave
> 
> 
>   ----- Original Message ----- 
>   From: foxblade2000invest 
>   To: amibroker@xxxxxxxxxxxxxxx 
>   Sent: Thursday, July 03, 2008 4:07 AM
>   Subject: [amibroker] exposure % with rotationaltrading
> 
> 
>   Hello,
> 
>   I'm puzzled and need advice, please?
> 
>   when using rotational trading, I'd assume my exposure would be 100%?
> 
>   I've set the numberheld to the worstrank, hence my position sizing 
>   should allow 100% of funds to be allocated at all times - but I'm 
>   getting between 40% and 60%.
> 
>   Can anyone help?
> 
>   Cheers,
>   Rich
>



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