[amibroker] Sanity check w/ rotational trading

["pinkheadedbug" <john.brownlow@xxxxxxxxx>]

Hi all

I am getting some anomalous results on a particular data set when using the following 
simple rotational system. Is it possible I am looking into the future without knowing it?

// 3-EMA rotational system

// set up rotational trading

SetTradeDelays( 1,1,1,1 );

EnableRotationalTrading();

positions = Param("# of Positions", 10, 1, 100, 1);

SetOption("WorstRankHeld", positions+1); 

PositionSize = -(100/positions); // invest X% of equity in single security

// minimum price

MinPrice = 0.50;


// position scoring


ShortPeriod = Optimize( "Short EMA", 5, 2, 20, 2 );
MediumPeriod = Optimize( "Med EMA", 40, 20, 100, 10 );
LongPeriod = Optimize( "Long EMA", 200, 100, 500, 20);


m1 = EMA(C, Shortperiod);
m2 = EMA(C, mediumPeriod);
m3 = EMA(C, Longperiod);

// slopes

s1 = (m1-Ref(m1, -1))/m1;
s2 = (m2-Ref(m2, -1))/m2;
s3 = (m3-Ref(m3, -1))/m3;

// weights

w1 = -1; //Optimize( "w1", -1, -1, 1, 0.5 );
w2 = 0.5; //Optimize( "w2", 0.5, -1, 1, 0.5 );
w3 = -1; //Optimize( "w3", -1, -1, 1, 0.5 );

PositionScore = IIf( C > minprice, s1*w1 + s2*w2 + s3*w3, 0 );


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