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Comment A
Love wrote that he had been studying the manual, so I assumed he
already knew about EnableRotationalTrading(); My problem with ERT
mode is that cover/sell signals are created by events occurring in
other stocks in the WatchList. So stock XYZ has some event (either
positive or negative - since the absolute value is used) that pushes
it to the top of the list and generates a cover/sell in stock ZYX that
may be doing just fine and doesn't deserve to be sold.
Comment B
By the nature of ranking indicators, a stock has to push past all of
the others to get near the top of the list. Often, this is majority
of its up move. I actually trade my ranking system, and often pick
stocks from other locations in the list based on industry strength and
market condition and company fundamentals. It still is a merit
system, but several other factors are considered.
Comment C
If you are going to create a rotational trading system it is very
important to make sure that the stocks on your Watchlist are
non-correlated. If your Watchlist stocks are all going up or down at
the same time rotating from one dropping stock to another stock that
might be dropping at a slightly slower rate won't help you. I use a
correlation matrix for find the stocks that are NOT moving in
lock-step with one another.
Reef Break
--- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@xxx> wrote:
>
> Take a look at rotational mode. For further flexibility you can
> combine it with CBT (custom-back-tester). In short, in can be done.
>
> PS
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ed Hoopes" <reefbreak_sd@>
> wrote:
> >
> > I think this could be done by AB. It would be an
> > intermediate/advanced level of programming - not for a newbie.
> >
> > One of the difficult problems is you have to write a 2-dimensional
> > sort routine
> > Dimension 1
> > is the value of your ranking indicator for each ticker in the
> > WatchList. This is easy since AB supports x[1] = 1.2, x[2]=3.5 etc
> ie
> > - arrays of numbers. There are sort routines available here and the
> > AB website library.
> >
> > Dimension 2
> > this is more difficult since AB does not support arrays of strings
> > like y[1] = "SPY", Y[2] = "DIA", etc so carrying the ticker symbol
> > along while you are sorting your ranking indicator value is more
> > difficult. I used the index number from "GetCategorySymbols(
> > categoryWatchlist, listnum ));" construct.
> >
> > If you want to plot your results you have to construct this sorted
> > 2-dim array for each day you want to plot (one plot for each ticker
> in
> > your Watchlist, of course) - another tricky programming task, but
> do-able.
> >
> > I've got this to work for an arbitrary WatchList of arbitrary
> length -
> > but it wasn't easy. Maybe some other contributor has an easier
> method
> > to create a 2-dimensional numerical+text string sort???
> >
> > Now once you have the paired list of each ticker in order by your
> > ranking indicator, you need to hand the top n symbols off to the
> back
> > tester along with your entry/exit rules. I haven't done this part
> but
> > I think it would be possible.
> >
> > In summation - this is do-able, but difficult programming task.
> >
> > ReefBreak
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "love_carrot_cake" <michaelpub@>
> > wrote:
> > >
> > > I have went through the tutorial and documentation but it's still
> not
> > > clear to me if Amibroker can do what I'm looking for. I would
> > > appreciate it greatly if someone could tell me if it can do it.
> It's
> > > quite simple really but I don't have experience with this sort of
> thing.
> > >
> > > My strategy that I want to backtest is this:
> > >
> > > each day I want to scan a watchlist of around 10-50 symbols
> > > the scan is for certain indicator criteria, for example macd
> recently
> > > crossed over, etc.
> > > I'd like to rank the results, for example by stoch or by volume
> > > I'd then like to buy the top x stocks (configurable of course)
> > > I'd like to configure the exact entry, exit, and stop
> > >
> > > I'd like to backtest this strategy over a long period and show the
> > > results.
> > >
> > > If Amibroker can do this I would like to invest the amount of time
> > > required to learn AFL and purchase the software. Thanks for your
> help.
> > >
> >
>
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